We consider option pricing when dynamic portfolios are discretely rebalanced. The portfolio adjustments only occur after fixed relative variations of the stock price. The stock price follows a marked point process and the market is incomplete.
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Paper provided by Institut National de la Statistique et des Etudes Economiques- in its series Papers with number
9961.
Length: 25 pages Date of creation: 1999 Date of revision: Handle: RePEc:fth:inseep:9961
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Find related papers by JEL classification: D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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