Options and equilibrium

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)

zbMATH Keywords

perturbationsincomplete asset marketfailure of existence

Mathematics Subject Classification ID

General equilibrium theory (91B50)

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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