DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?

DOI10.1111/J.1467-9965.1996.TB00110.XzbMath0917.90029OpenAlexW2068339506MaRDI QIDQ4226851

Jean-Charles Rochet, Isabelle Bajeux-Besnainou

Publication date: 5 August 1999

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1996.tb00110.x

zbMATH Keywords

path-dependent optionsEuropean optionsdynamic spanning

Mathematics Subject Classification ID

Related Items (10)

The financial market: not as big as you think ⋮ On the neutrality of socially responsible investing: The general equilibrium perspective ⋮ Spanning with American options. ⋮ A Simple Model for Option Pricing with Jumping Stochastic Volatility ⋮ OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS ⋮ Perpetual American vanilla option pricing under single regime change risk: an exhaustive study ⋮ NONREPLICATION OF OPTIONS ⋮ STOCHASTIC VOLATILITY ⋮ Optimal robust mean-variance hedging in incomplete financial markets ⋮ Monotonicity of the value function for a two-dimensional optimal stopping problem

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• On the optimality of equilibrium when the market structure is incomplete
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• A General Equilibrium Analysis of Option and Stock Market Interactions
• Options and Efficiency
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing: A simplified approach

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