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Volumn 40, Issue 4, 2005, Pages 833-848

Equilibrium pricing in incomplete markets

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EID: 30344455927     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.1017/S002210900000199X     Document Type: Review
Times cited : (6)

References (11)
  • 1
    • 0039505965 scopus 로고    scopus 로고
    • Nonparametric estimation of state-price densities implicit in financial asset prices
    • Aït-Sabalia, Y., and A. W. Lo. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices." Journal of Finance, 53 (1998), 499-547.
    • (1998) Journal of Finance , vol.53 , pp. 499-547
    • Aït-Sabalia, Y.1    Lo, A.W.2
  • 2
    • 30344440983 scopus 로고    scopus 로고
    • Pricing of non-redundant derivatives in a complete market
    • Bizid, A.; E. Jouini; and P.-F. Koehl. "Pricing of Non-Redundant Derivatives in a Complete Market." Review of Derivative Research, 2 (1999), 287-314.
    • (1999) Review of Derivative Research , vol.2 , pp. 287-314
    • Bizid, A.1    Jouini, E.2    Koehl, P.-F.3
  • 3
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, F., and M. Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, 81 (1973), 637-659.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-659
    • Black, F.1    Scholes, M.2
  • 4
    • 0001562962 scopus 로고
    • Distributional analysis of portfolio choice
    • Dybvig, P. "Distributional Analysis of Portfolio Choice." Journal of Business, 61 (1988a), 369-393.
    • (1988) Journal of Business , vol.61 , pp. 369-393
    • Dybvig, P.1
  • 5
    • 0002099461 scopus 로고
    • Inefficient dynamic portfolio strategies or how to throw away a million dollars in the stock market
    • Dybvig, P. "Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market." Review of Financial Studies, 1 (1988b), 67-88.
    • (1988) Review of Financial Studies , vol.1 , pp. 67-88
    • Dybvig, P.1
  • 6
    • 38649141305 scopus 로고
    • Martingales and arbitrage in multiperiod securities markets
    • Harrison, J. M., and D. Kreps. "Martingales and Arbitrage in Multiperiod Securities Markets." Journal of Economic Theory, 20 (1979), 381-408.
    • (1979) Journal of Economic Theory , vol.20 , pp. 381-408
    • Harrison, J.M.1    Kreps, D.2
  • 7
    • 0041077441 scopus 로고    scopus 로고
    • Efficient trading strategies in the presence of market frictions
    • Jouini, E., and H. Kallal. "Efficient Trading Strategies in the Presence of Market Frictions." Review of Financial Studies, 14 (2001), 343-369.
    • (2001) Review of Financial Studies , vol.14 , pp. 343-369
    • Jouini, E.1    Kallal, H.2
  • 9
    • 0001585457 scopus 로고
    • Option bounds in discrete time: Extensions and the pricing of the american put
    • Perrakis, S. "Option Bounds in Discrete Time: Extensions and the Pricing of the American Put." Journal of Business, 59 (1986), 119-141.
    • (1986) Journal of Business , vol.59 , pp. 119-141
    • Perrakis, S.1
  • 10
    • 0001441908 scopus 로고
    • Option pricing bounds in discrete time
    • Perrakis, S., and P. J. Ryan. "Option Pricing Bounds in Discrete Time." Journal of Finance, 39 (1984), 519-525.
    • (1984) Journal of Finance , vol.39 , pp. 519-525
    • Perrakis, S.1    Ryan, P.J.2
  • 11
    • 0000026887 scopus 로고
    • On option pricing bounds
    • Ritchken, P. "On Option Pricing Bounds." Journal of Finance, 40 (1985), 1219-1233.
    • (1985) Journal of Finance , vol.40 , pp. 1219-1233
    • Ritchken, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.