Pricing of non-redundant derivatives in a complete market
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Publication:375374
DOI10.1007/BF01574150zbMATH Open1274.91400OpenAlexW3121794227MaRDI QIDQ375374FDOQ375374
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
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Cites Work
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- On the Differentiability of the Value Function in Dynamic Models of Economics
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- Mean-variance hedging for general claims
- Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
- Variance-Optimal Hedging in Discrete Time
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- INCOMPLETE MARKETS AND SHORT-SALES CONSTRAINTS: AN EQUILIBRIUM APPROACH
- A General Equilibrium Analysis of Option and Stock Market Interactions
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
- PRICING DERIVATIVES IN HERMITE MARKETS
- Equilibrium pricing bounds on option prices
- Dynamic asset pricing with non-redundant forwards
- INCOMPLETE MARKETS AND SHORT-SALES CONSTRAINTS: AN EQUILIBRIUM APPROACH
- Informational Efficiency under Short Sale Constraints
- Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets
- Market completion with derivative securities
- Derivatives pricing with market impact and limit order book
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