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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:

  • John McCall, 1982. "The Economics of Information and Uncertainty," NBER Books, National Bureau of Economic Research, Inc, number mcca82-1.
    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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    Cited by:
    1. Talmain, Gabriel, 1999. "On the number of currencies needed to implement the complete asset market allocation," Journal of Mathematical Economics, Elsevier, vol. 31(2), pages 251-263, March.
    2. Patrick Beißner, 2013. "Radner equilibria under ambiguous volatility," Working Papers 493, Bielefeld University, Center for Mathematical Economics.
    3. Timothy J. Kehoe & David K. Levine, 2006. "Bankruptcy and Collateral in Debt Constrained Markets," NBER Working Papers 12656, National Bureau of Economic Research, Inc.
    4. Philippe Bertrand & Jean-luc Prigent, 2014. "Equilibrium of Financial Derivative Markets under Portfolio Insurance Constraints," Working Papers, Department of Research, Ipag Business School 2014-330, Department of Research, Ipag Business School.
    5. Marco Celentani & J. Ignacio Conde-Ruiz & Klaus Desmet, . "Endogenous Policy Leads to Inefficient Risk Sharing," Working Papers 2003-08, FEDEA.
    6. 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.
    7. Wang, Xiao-Tian & Zhu, En-Hui & Tang, Ming-Ming & Yan, Hai-Gang, 2010. "Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 389(3), pages 445-451.
    8. Bryan Ellickson & José Penalva-Zuasti, 1996. "Intertemporal Insurance," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 96-19, Wharton School Center for Financial Institutions, University of Pennsylvania.
    9. Madan, Dilip B & Milne, Frank & Shefrin, Hersh, 1989. "The Multinomial Option Pricing Model and Its Brownian and Poisson Limits," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 2(2), pages 251-65.
    10. Alexandre Baptista, 2000. "Options and Efficiency in Multiperiod Security Markets," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0299, Econometric Society.
    11. Celentani, Marco & Conde-Ruiz, José Ignacio & Desmet, Klaus, 2003. "Endogenous Policy Leads to Inefficient Risk-Sharing," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3866, C.E.P.R. Discussion Papers.
    12. Mas-Colell, Andreu & Zame, William R., 1996. "The existence of security market equilibrium with a non-atomic state space," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 63-84.
    13. Bryan Ellickson, 1995. "Intertemporal Insurance," UCLA Economics Working Papers, UCLA Department of Economics 742, UCLA Department of Economics.
    14. Baptista, Alexandre M., 2003. "Spanning with American options," Journal of Economic Theory, Elsevier, Elsevier, vol. 110(2), pages 264-289, June.

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