Options and Efficiency - MaRDI portal

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

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