Pricing of non-redundant derivatives in a complete market

DOI10.1007/BF01574150MaRDI QIDQ375374zbMATH OpenOpenAlexFDO

Authors Abdelhamid Bizid, Elyès Jouini, Pierre-François Koehl

Publication date 30 October 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01574150

zbMATH Keywords

equilibriumpricingincomplete marketsderivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 41105 (Why is no real title available?)
• scientific article; zbMATH DE number 52448 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• A General Equilibrium Analysis of Option and Stock Market Interactions
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• INCOMPLETE MARKETS AND SHORT-SALES CONSTRAINTS: AN EQUILIBRIUM APPROACH
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Mean-variance hedging for general claims
• On the Differentiability of the Value Function in Dynamic Models of Economics
• The pricing of options and corporate liabilities
• Variance-Optimal Hedging in Discrete Time

Cited in

(12)

• Market clearing and derivative pricing
• Co-monotonicity of optimal investments and the design of structured financial products
• Pricing derivatives of American and game type in incomplete markets
• PRICING DERIVATIVE SECURITIES USING CROSS-ENTROPY: AN ECONOMIC ANALYSIS
• Informational efficiency under short sale constraints
• Equilibrium pricing bounds on option prices
• Dynamic asset pricing with non-redundant forwards
• PRICING DERIVATIVES IN HERMITE MARKETS
• INCOMPLETE MARKETS AND SHORT-SALES CONSTRAINTS: AN EQUILIBRIUM APPROACH
• Market completion with derivative securities
• Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets
• Derivatives pricing with market impact and limit order book

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