Multiperiod security markets with differential information
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Cites work
- A note on 'fulfilled expectations' equilibria
- Arbitrage and equilibrium in economies with infinitely many commodities
- Calcul stochastique et problèmes de martingales
- Espaces de semi martingales et changement de probabilit�
- scientific article; zbMATH DE number 3837095 (Why is no real title available?)
- scientific article; zbMATH DE number 3778409 (Why is no real title available?)
- scientific article; zbMATH DE number 3778410 (Why is no real title available?)
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- scientific article; zbMATH DE number 3638888 (Why is no real title available?)
- scientific article; zbMATH DE number 3344969 (Why is no real title available?)
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
- Information structure and equilibrium asset prices
- Information structures and viable price systems
- Martingales and arbitrage in multiperiod securities markets
- Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis
Cited in
(39)- Testing the martingale restriction for option implied densities
- Information structures and viable price systems
- A note on the terminal date security prices in a continuous time trading model with dividends
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- Dominated families of martingale, supermartingale and quasimartingale laws
- A general version of the fundamental theorem of asset pricing
- Universal state prices and asymmetric information.
- Asset pricing in an intertemporal partially-revealing rational expectations equilibrium.
- Arbitrage and price revelation with asymmetric information and incomplete markets
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Submodular financial markets with frictions
- Gaussian random bridges and a geometric model for information equilibrium
- The Shannon information of filtrations and the additional logarithmic utility of insiders
- Arbitrage and state price deflators in a general intertemporal framework
- On the fundamental theorem of asset pricing with an infinite state space
- Lie symmetry reductions and exact solutions of an option-pricing equation for large agents
- ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
- Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
- ON THE RATE OF INFORMATION ABSORPTION IN THE CONDITIONAL VARIANCE OF SES DUAL LISTED STOCKS
- REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
- Martingale Measures For A Class of Right‐Continuous Processes
- A Counterexample to Several Problems In the Theory of Asset Pricing
- MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
- Empirical Performance and Asset Pricing in Hidden Markov Models
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
- Option pricing for large agents
- A note on the condition of no unbounded profit with bounded risk
- Equivalent martingale measures and no-arbitrage
- Equivalent martingale measures and no-arbitrage
- Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage
- Monotone utility convergence
- Arbitrage and control problems in finance. A presentation
- Arbitrage and viability in securities markets with fixed trading costs
- Special issue: Arbitrage and control problems in finance
- Pricing issues with investment flows. Applications to market models with frictions
- Interest rate theory and geometry
- The valuation problem in arbitrage price theory
- Further results on asset pricing with incomplete information
- Universal strategies for diffusion markets and possibility of asymptotic arbitrage
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