Pricing Derived Securities Under an Edgeworthian Process
AbstractThe purpose of this paper is twofold. First, it introduces a new version of the Edgeworth process with trading activities centered around self-interested enterprising arbitragers; and second it examines how the prices of the derived securities are deteremined under this process.
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Bibliographic InfoPaper provided by University of Iowa, Department of Economics in its series Working Papers with number 96-01.
Length: 40 pages
Date of creation: 1996
Date of revision:
Contact details of provider:
Postal: University of Iowa, Department of Economics, Henry B. Tippie College of Business, Iowa City, Iowa 52242
Phone: (319) 335-0829
Fax: (319) 335-1956
Web page: http://tippie.uiowa.edu/economics/
More information through EDIRC
FINANCIAL MARKET; SECURITIES; PRICING; ECONOMIC MODELS;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G30 - Financial Economics - - Corporate Finance and Governance - - - General
- G39 - Financial Economics - - Corporate Finance and Governance - - - Other
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