A computational study on general equilibrium pricing of derivative securities

DOI10.1007/s10436-007-0088-9zbMath1233.91318OpenAlexW3125819127MaRDI QIDQ665835

Jacco J. J. Thijssen

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-007-0088-9

zbMATH Keywords

asset pricinggeneral equilibriumincomplete markets

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Maximal submarkets that replicate any option

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
• Existence of equilibrium and price adjustments in a finance economy with incomplete markets
• Some Results in the CAPM with Nontraded Endowments
• Computing Equilibria in Finance Economies

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