Equilibria with options: Existence and indeterminacy

DOI10.1016/0022-0531(91)90124-MzbMath0732.90013MaRDI QIDQ809852

Stefan Krasa, Jan Werner

Publication date: 1991

Published in: Journal of Economic Theory (Search for Journal in Brave)

zbMATH Keywords

Arrow-Debreu equilbriumequilibrium allocationsincomplete futures marketsmanifold of a high dimensionsequential tradingspot commodity markets

Mathematics Subject Classification ID

General equilibrium theory (91B50)

Related Items (3)

Competitive equilibrium of incomplete markets for securities with smooth payoffs ⋮ Non-existence and inefficiency of equilibria with American options ⋮ Equilibrium and arbitrage in incomplete asset markets with fixed prices

Cites Work

• Characterisation of generically complete real asset structures
• Options and equilibrium
• Existence of equilibrium with incomplete markets
• Structure of financial markets and real indeterminacy of equilibria
• Equilibrium in incomplete markets. I: A basic model of generic existence
• Real indeterminacy with financial assets
• Existence of competitive equilibria for option markets
• The Arrow-Debreu Model Extended to Financial Markets
• Options and Efficiency
• Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
• The Structure of Financial Equilibrium with Exogenous Yields: The Case of Incomplete Markets

This page was built for publication: Equilibria with options: Existence and indeterminacy