DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?
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Publication:4226851
DOI10.1111/J.1467-9965.1996.TB00110.XzbMath0917.90029OpenAlexW2068339506MaRDI QIDQ4226851
Jean-Charles Rochet, Isabelle Bajeux-Besnainou
Publication date: 5 August 1999
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1996.tb00110.x
Related Items (10)
The financial market: not as big as you think ⋮ On the neutrality of socially responsible investing: The general equilibrium perspective ⋮ Spanning with American options. ⋮ A Simple Model for Option Pricing with Jumping Stochastic Volatility ⋮ OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS ⋮ Perpetual American vanilla option pricing under single regime change risk: an exhaustive study ⋮ NONREPLICATION OF OPTIONS ⋮ STOCHASTIC VOLATILITY ⋮ Optimal robust mean-variance hedging in incomplete financial markets ⋮ Monotonicity of the value function for a two-dimensional optimal stopping problem
Cites Work
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- The Pricing of Options and Corporate Liabilities
- On the optimality of equilibrium when the market structure is incomplete
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
- A General Equilibrium Analysis of Option and Stock Market Interactions
- Options and Efficiency
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Option pricing: A simplified approach
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