Options and Efficiency - MaRDI portal

Cited In (81)

The impact of warrants introduction: sign effect or magnitude effect?
Markets for financial innovation
Bounds for the price of discrete arithmetic Asian options
On the neutrality of socially responsible investing: The general equilibrium perspective
Spanning with indexes
Pricing rules and Arrow-Debreu ambiguous valuation
Linear and nonlinear price decentralization
The completion of real-asset markets by options
Options and equilibrium
Put-call parity and market frictions
Selecting an optimal portfolio of consumer loans by applying the state preference approach
Multiasset Derivatives and Joint Distributions of Asset Prices
Riesz estimators
Duality in a Problem of Static Partial Hedging under Convex Constraints
Options and efficiency in spaces of bounded claims
Option spanning with exogenous information structure
Spanning and completeness in markets with contingent claims
Efficient funds for meager asset spaces
CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
The completion of security markets
State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
The probability approach to general equilibrium with production
EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL¹
Nonparametric spot volatility from options
Spanning with American options.
Moment generating function approach to pricing interest rate and foreign exchange rate claims.
Option spanning beyond \(L_p\)-models
A model-free approach to multivariate option pricing
Do option markets correctly price the probabilities of movement of the underlying asset?
Rational expectations equilibrium and the strategic choice of costly information
Spanning, valuation and options
Incomplete markets and derivative assets
Minimum-cost portfolio insurance
A Note on Market Completeness with American Put Options
Nonparametric risk management and implied risk aversion
Study on the stability of an artificial stock option market based on bidirectional conduction
Optimal hedging with currency forwards, calls, and calls on forwards for the competitive exporting firm facing exchange rate uncertainty
The cheapest hedge.
Modeling and simulation of an artificial stock option market
Variance trading and market price of variance risk
Equilibrium open interest
Endogenous uncertainty in a general equilibrium model with price contingent contracts
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
A note on spanning with options
Estimation of risk-neutral densities using positive convolution approximation
Futures markets and commodity options: Hedging and optimality in incomplete markets
Capital market equilibrium with moral hazard
An introduction to general equilibrium with incomplete asset markets
Exchangeability-type properties of asset prices
DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?
Maximal submarkets that replicate any option
Non-existence and inefficiency of equilibria with American options
On the non-existence of redundant options
Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs
Structural stability of market models
THE ENTROPY THEORY OF BOND OPTION PRICING
Pension plan funding, technology choice, and the equity risk premium
Markets that don't replicate any option.
The effects of newly listed derivatives in a thin stock market
Equilibria with options: Existence and indeterminacy
Smallest order closed sublattices and option spanning
Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion
Existence of competitive equilibria for option markets
Semi-nonparametric approximation and index options
Option market trading activity and the estimation of the pricing kernel: a Bayesian approach
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives
The financial market: not as big as you think
Computational methods for option replication
Cost-efficient payoffs under model ambiguity
Option pricing via maximization over uncertainty and correction of volatility smile
Coordinating Vulnerable Supply Chains with Option Contracts
Can a Machine Correct Option Pricing Models?
Nonparametric Option Pricing with Generalized Entropic Estimators
A new representation of the risk-neutral distribution and its applications
Integrated dynamic models for hedging international portfolio risks
Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails
Integrated portfolio management with options
Optimal strategies in equity securities and derivatives
Rearrangement algorithm and maximum entropy
Implied value-at-risk and model-free simulation
HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS

This page was built for publication: Options and Efficiency

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4096087)