Options and equilibrium
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Publication:909557
DOI10.1016/0304-4068(90)90038-BzbMath0694.90021MaRDI QIDQ909557
Bon-Il Ku, Herakles M. Polemarchakis
Publication date: 1990
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Related Items (15)
Competitive equilibrium of incomplete markets for securities with smooth payoffs ⋮ Non-existence and inefficiency of equilibria with American options ⋮ Portfolio choice, exchange rates, and indeterminacy ⋮ Collateral equilibrium. I: A basic framework ⋮ Securities market theory: possession, repo and rehypothecation ⋮ An introduction to general equilibrium with incomplete asset markets ⋮ A computational study on general equilibrium pricing of derivative securities ⋮ On financial equilibrium with intermediation costs ⋮ Robust nonexistence of equilibrium with incomplete markets ⋮ Financial markets with endogenous transaction costs ⋮ Existence of equilibria with incomplete markets: The case of smooth returns ⋮ An analysis of the conditions for the validity of Modigliani-Miller theorem with incomplete markets ⋮ Existence of competitive equilibria for option markets ⋮ Equilibrium and arbitrage in incomplete asset markets with fixed prices ⋮ Equilibria with options: Existence and indeterminacy
Cites Work
- The Pricing of Options and Corporate Liabilities
- Equilibrium in incomplete markets. I: A basic model of generic existence
- A simple proof of Maskin's theorem on Nash implementation
- Equilibrium in incomplete markets. II: Generic existence in stochastic economies
- On the optimality of equilibrium when the market structure is incomplete
- Options and Efficiency
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