Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets
From MaRDI portal
Publication:5431993
DOI10.1007/3-540-28161-4_3zbMath1130.91335OpenAlexW239043483MaRDI QIDQ5431993
Roberto C. Raimondo, Robert M. Anderson
Publication date: 2 January 2008
Published in: Institutions, Equilibria and Efficiency (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/3-540-28161-4_3
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Asset pricing for general processes
- Infinitesimal methods in control theory: deterministic and stochastic
- Equilibrium in incomplete markets. I: A basic model of generic existence
- Equilibrium in incomplete markets. II: Generic existence in stochastic economies
- Martingales and arbitrage in multiperiod securities markets
- On intertemporal preferences in continuous time. The case of certainty
- Real effects of money in general equilibrium
- A non-standard representation for Brownian motion and Ito integration
- Reelle und vektorwertige Quasimartingale und die Theorie der stochastischen Integration
- Continuous-time security pricing. A utility gradient approach
- Market clearing, utility functions, and securities prices
- Market clearing and derivative pricing
- An infinitesimal approach to stochastic analysis
- Nonstandard Construction of the Stochastic Integral and Applications to Stochastic Differential Equations.I
- An Intertemporal General Equilibrium Model of Asset Prices
- Hyperdefinite stochastic integration I: The nonstandard theory.
- Hyperdefinite stochastic integration II: Comparision with the standard theory.
- Hyperdefinite stochastic integration III: Hyperdefinite representations of standard martingales.
- Addendum to "Hyperdefinite stochastic integration III".
- Star-Finite Representations of Measure Spaces
- Intertemporal Preferences for Uncertain Consumption: A Continuous Time Approach
- Conversion from Nonstandard to Standard Measure Spaces and Applications in Probability Theory
- A Nonstandard Characterization of Weak Convergence
- A Nonstandard Approach to Option Pricing
- From Discrete to Continuous Financial Models: New Convergence Results For Option Pricing
- Compact operators on the Bergman space of multiply-connected domains
- From discrete to continuous stochastic calculus
- Optimal Consumption and Portfolio Rules with Durability and Local Substitution
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
This page was built for publication: Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets