On the Spanning Property of Risk Bonds Priced by Equilibrium
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Publication:5388061
DOI10.1287/moor.1070.0270zbMath1276.91097OpenAlexW2119663881MaRDI 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 equationspartial equilibriumclimate riskpricing in illiquid financial markets
Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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