A computational study on general equilibrium pricing of derivative securities

DOI10.1007/S10436-007-0088-9MaRDI QIDQ665835zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

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• Equilibrium asset prices with undiversifiable labor income risk
• Existence of equilibrium and price adjustments in a finance economy with incomplete markets
• Financial innovation, precautionary saving and the risk-free rate
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Cited in

(6)

• On computer-aided solving differential equations and stability study of markets
• A comparison study of explicit and implicit numerical methods for the equity-linked securities
• scientific article; zbMATH DE number 1344855 (Why is no real title available?)
• Estimating Security Price Derivatives Using Simulation
• Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets
• Maximal submarkets that replicate any option

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