Valuation and martingale properties of shadow prices: An exposition

Journal of Economic Dynamics and Control

Volumn 24, Issue 11-12, 2000, Pages 1641-1701

  Foldes, Lucien ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

49K45; 60G44; 90A09; 90A16; 93E20; C61; Continuous time; D46; D81; D9; Investment; Martingales; Optimisation; Time change; Transversality; Valuation

Indexed keywords

EID: 0346300316     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(99)00090-1     Document Type: Article

References (29)

1. Andreasen, J., Jensen, B., Poulsen, R., 1996. New skin for the old ceremony: eight different derivations of the Black-Scholes formula. Preprint, Department of Operations Research, Aarhus University.
2. Arrow K.J. Uncertainty and the economics of medical care. American Economic Review. LIII:1963;941-973.
3. Arrow K.J., Lind R.C. Uncertainty and the evaluation of public investment decisions. American Economic Review. LX:1970;364-378.
4. Babbs S.H., Selby M.J.P. Pricing by arbitrage under arbitrary information. Mathematical Finance. 8:1998;163-168.
5. Barles G., Soner H.M. Option pricing with transaction costs and a nonlinear Black-Scholes equation. Finance and Stochastics. 2:1998;369-398.
6. Chirinko R.S. Investment under uncertainty: a review essay. Journal of Economic Dynamics and Control. 20:1996;1801-1808.
7. Constantinides G.M. Market risk adjustment in project evaluation. Journal of Finance. XXXIII:1978;603-616.
8. Dellacherie C., Meyer P.-A. Probabilités et potentiel: Théorie des martingales. 1980;Hermann, Paris.
9. Dixit A.K., Pindyck R.S. Investment under Uncertainty. 1993;Princeton University Press, Princeton, NJ.
10. Doléans-Dade C. Quelques applications de la formule de changement de variables. Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete. 16:1970;181-194.
11. Dudley R.M. Wiener functionals as Itô integrals. The Annals of Probability. 5:1977;140-141.
12. Duffie, D., 1991. The theory of value in security markets, in: W. Hildenbrand, H. Sonnenschein (Eds.), Handbook of Mathematical Economics, Vol. IV. Elsevier, Amsterdam (Chapter 31).
13. Duffie D., Huang C.-F. Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities. Econometrica. 53:1985;1337-1356.
14. El Karoui N., Jeanblanc-Piqué M. Optimization of consumption with labor income. Finance and Stochastics. 2:1998;409-440.
15. Elliott R.J. Stochastic Calculus and Applications. 1982;Springer, New York.
16. Fisher I. The Nature of Capital and Income. 1906;Macmillan, New York.
17. Fisher I. The Theory of Interest. 1930;Macmillan, New York.
18. Foldes L. Martingale conditions for optimal saving - discrete time. Journal of Mathematical Economics. 5:1978;83-96.
19. Foldes L. Optimal saving and risk in continuous time. Review of Economic Studies. XLV:1978;39-65.
20. Foldes L. Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments. Stochastics and Stochastics Reports. 29:1990;133-170.
21. Grabbe J. The pricing of call and put options on foreign exchange. Journal of International Money and Finance. 2:1983;239-253.
22. Hicks J.R. A Revision of Demand Theory. 1986;Oxford University Press, Oxford.
23. Jacod J. Calcul stochastique et problème de martingales. Springer Lecture Notes in Mathematics. Vol. 714:1979;Springer, Berlin.
24. Jevons, W.S., 1871. The Theory of Political Economy. Pelican, London, 1970.
25. Margrabe W. The value of an option to exchange one asset for another. Journal of Finance. 33:1978;177-186.
26. Merton R.C. The theory of rational option pricing. The Bell Journal of Economics and Management Science. 4:1973;141-183.
27. Meyer P.-A. Probabilités et potentiel. 1966;Hermann, Paris.
28. Meyer, P.-A., 1976. Un cours sur les intégrales stochastiques. Séminaire de Probabilités X, Springer Lecture Notes in Mathematics, Vol. 511. Springer, Berlin, pp. 246-400.
29. Neftci S.N. An Introduction to the Mathematics of Financial Derivatives. 1996;Academic Press, San Diego.