Controlling price volatility through financial innovation
AbstractIn this paper, the authors study the possibility of controlling asset price volatility through financial innovation in a three-period finite competitive exchange economy with incomplete financial markets and retrading.
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Bibliographic InfoPaper provided by HEC Paris in its series Les Cahiers de Recherche with number 749.
Length: 42 pages
Date of creation: 01 Jan 2002
Date of revision:
incomplete markets; financial innovation; volatility;
Other versions of this item:
- Alessandro Citanna & Karl Schmedders, 2002. "Controlling Price Volatility Through Financial Innovation," Discussion Papers 1338, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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