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Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing Model

In: The Economics of Information and Uncertainty

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David M. Kreps
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This chapter was published in: David M. Kreps The Economics of Information and Uncertainty, , pages 203-232, 1982.

This item is provided by National Bureau of Economic Research, Inc in its series NBER Chapters with number 4436.

Handle: RePEc:nbr:nberch:4436

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Related research
This chapter was published in the following book, which is listed on IDEAS:
John McCall, 1982. "The Economics of Information and Uncertainty," NBER Books, National Bureau of Economic Research, Inc, number mcca82-1.
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  1. Bryan Ellickson, 1995. "Intertemporal Insurance," UCLA Economics Working Papers 742, UCLA Department of Economics. [Downloadable!]
  2. David Hirshleifer, 1983. "A Model of Hedging and Futures Price Bias," University of California at Los Angeles, Anderson Graduate School of Management 1207, Anderson Graduate School of Management, UCLA. [Downloadable!]
  3. Bryan Ellickson & José Penalva-Zuasti, 1996. "Intertemporal Insurance," Center for Financial Institutions Working Papers 96-19, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  4. Timothy J. Kehoe & David K. Levine, 2006. "Bankruptcy and collateral in debt constrained markets," Staff Report 380, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  5. Jose S. Penalva Zuasti, 2001. "Insurance with Frequency Trading: A Dynamic Analysis of Efficient Insurance Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(4), pages 790-822, October. [Downloadable!] (restricted)
    Other versions:
  6. Alexandre Baptista, 2000. "Options and Efficiency in Multiperiod Security Markets," Econometric Society World Congress 2000 Contributed Papers 0299, Econometric Society. [Downloadable!]
  7. Marco Celentani & J. Ignacio Conde-Ruiz & Klaus Desmet, . "Endogenous Policy Leads to Inefficient Risk Sharing," Working Papers 2003-08, FEDEA. [Downloadable!]
    Other versions:
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