Futures market equilibrium with heterogeneity and a spot market at harvest
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Cites work
- A generalized clark representation formula, with application to optimal portfolios
- Adapted solution of a backward stochastic differential equation
- Asset Prices in an Exchange Economy with Habit Formation
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Hedging Pressure and Futures Price Movements in a General Equilibrium Model
- Hedging with price and output uncertainty
- scientific article; zbMATH DE number 4042975 (Why is no real title available?)
- Intertemporal asset pricing with heterogeneous beliefs
- Martingales and stochastic integrals in the theory of continuous trading
- On the theory of option pricing
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
Cited in
(5)- Futures markets, production and diversification of risk
- On the qualitative properties of futures market equilibrium
- Strategic interaction between futures and spot markets
- Forward Exchange, Futures Trading, and Spot Price Variability: A General Equilibrium Approach
- The futures price of a commodity in fixed supply
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