Non-existence and inefficiency of equilibria with American options

DOI10.1007/BF01213699MaRDI QIDQ1339009zbMATH OpenFDO

Authors Charles M. Kahn, Stefan Krasa

Publication date 27 November 1994

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01213699

zbMATH Keywords

American put optionsincomplete financial markets

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Trade models (91B60)

Recommendations

• Spanning with American options.
• Stochastic equilibria with incomplete financial markets
• Equilibria with options: Existence and indeterminacy
• Robust nonexistence of equilibrium with incomplete markets
• Non-existence of equilibrium in an incomplete stock market economy

Cites work

• Equilibria with options: Existence and indeterminacy
• Equilibrium in incomplete markets. I: A basic model of generic existence
• On the optimality of equilibrium when the market structure is incomplete
• Options and Efficiency
• Options and equilibrium

Cited in

(4)

• Existence of competitive equilibria for option markets
• Spanning with American options.
• scientific article; zbMATH DE number 1985272 (Why is no real title available?)
• Non-existence of equilibrium in an incomplete stock market economy

This page was built for publication: Non-existence and inefficiency of equilibria with American options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1339009)