On the Spanning Property of Risk Bonds Priced by Equilibrium
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Publication:5388061
DOI10.1287/moor.1070.0270zbMath1276.91097MaRDI QIDQ5388061
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Publication date: 27 May 2008
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.1070.0270
backward stochastic differential equations; partial equilibrium; climate risk; pricing in illiquid financial markets
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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