메뉴 건너뛰기




Volumn 9, Issue 3, 1996, Pages 723-756

Heterogeneous beliefs and the effect of replicatable options on asset prices

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0030521058     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/9.3.723     Document Type: Article
Times cited : (16)

References (19)
  • 1
    • 21344483445 scopus 로고
    • Asymmetric information and options
    • Back, K., 1993, "Asymmetric Information and Options," Review of Financial Studies, 6, 435-472.
    • (1993) Review of Financial Studies , vol.6 , pp. 435-472
    • Back, K.1
  • 2
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, F., and M. Scholes, 1973, "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81, 637-659.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-659
    • Black, F.1    Scholes, M.2
  • 3
    • 0000516158 scopus 로고
    • Prices of state-contingent claims implicit in option prices
    • Breeden, D., and R. Litzenberger, 1978, "Prices of State-contingent Claims Implicit in Option Prices," Journal of Business, 51, 621-651.
    • (1978) Journal of Business , vol.51 , pp. 621-651
    • Breeden, D.1    Litzenberger, R.2
  • 7
    • 26644444883 scopus 로고
    • Believing in multiple equilibria
    • Stanford Institute for Theoretical Economics
    • Chichilnisky, G., G. Heal, P. Streufert, and J. Swinkels, 1992, "Believing in Multiple Equilibria," Technical Report no. 49, Stanford Institute for Theoretical Economics.
    • (1992) Technical Report , vol.49
    • Chichilnisky, G.1    Heal, G.2    Streufert, P.3    Swinkels, J.4
  • 8
    • 0002165527 scopus 로고
    • Information, futures prices, and stabilizing speculation
    • Danthine, J., 1978, "Information, Futures Prices, and Stabilizing Speculation," Journal of Economic Theory, 17, 79-98.
    • (1978) Journal of Economic Theory , vol.17 , pp. 79-98
    • Danthine, J.1
  • 9
    • 84944832265 scopus 로고
    • On the efficiency of competitive stock markets where traders have diverse information
    • Grossman, S., 1976, "On the Efficiency of Competitive Stock Markets Where Traders Have Diverse Information," Journal of Finance, 31, 573-584.
    • (1976) Journal of Finance , vol.31 , pp. 573-584
    • Grossman, S.1
  • 10
    • 0001272649 scopus 로고
    • An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies
    • Grossman, S., 1988, "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies," Journal of Business, 61, 275-298.
    • (1988) Journal of Business , vol.61 , pp. 275-298
    • Grossman, S.1
  • 11
    • 0001188867 scopus 로고
    • On the impossibility of informationally efficient markets
    • Grossman, S., and J. Stiglitz, 1980, "On the Impossibility of Informationally Efficient Markets," American Economic Review, 70, 393-408.
    • (1980) American Economic Review , vol.70 , pp. 393-408
    • Grossman, S.1    Stiglitz, J.2
  • 12
    • 85033747269 scopus 로고
    • Economic Theory Discussion Paper no. 179, University of Cambridge
    • Hahn, F., 1992, "A Remark on Incomplete Market Equilibrium," Economic Theory Discussion Paper no. 179, University of Cambridge.
    • (1992) A Remark on Incomplete Market Equilibrium
    • Hahn, F.1
  • 13
    • 0011418755 scopus 로고
    • Welfare aspects of options and supershares
    • Hakansson, N., 1978, "Welfare Aspects of Options and Supershares," Journal of Finance, 33, 759-776.
    • (1978) Journal of Finance , vol.33 , pp. 759-776
    • Hakansson, N.1
  • 14
    • 0000088496 scopus 로고
    • On the aggregation of information in competitive markets
    • Hellwig, M., 1980, "On the Aggregation of Information in Competitive Markets," Journal of Economic Theory, 22, 477-498.
    • (1980) Journal of Economic Theory , vol.22 , pp. 477-498
    • Hellwig, M.1
  • 16
    • 0015602539 scopus 로고
    • Theory of rational option pricing
    • Merton, R., 1973, "Theory of Rational Option Pricing," Bell Journal of Economics, 4, 141-183.
    • (1973) Bell Journal of Economics , vol.4 , pp. 141-183
    • Merton, R.1
  • 18
    • 84934349023 scopus 로고
    • Information externalities and welfare-reducing speculation
    • Stein, J., 1987, "Information Externalities and Welfare-Reducing Speculation," Journal of Political Economy, 95, 1123-1145.
    • (1987) Journal of Political Economy , vol.95 , pp. 1123-1145
    • Stein, J.1
  • 19
    • 0000385107 scopus 로고
    • Efficiency and speculation in a model with price-contingent contracts
    • Svensson, L., 1981, "Efficiency and Speculation in a Model with Price-Contingent Contracts," Econometrica, 49, 131-151.
    • (1981) Econometrica , vol.49 , pp. 131-151
    • Svensson, L.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.