Contingent Claims Valued And Hedged By Pricing And Investing In A Basis
Download full text from publisher
Other versions of this item:
- Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Working Paper 1158, Economics Department, Queen's University.
References listed on IDEAS
- Back, Kerry & Pliska, Stanley R., 1991. "On the fundamental theorem of asset pricing with an infinite state space," Journal of Mathematical Economics, Elsevier, vol. 20(1), pages 1-18.
- Amershi, Amin H, 1985. " A Complete Analysis of Full Pareto Efficiency in Financial Markets for Arbitrary Preferences," Journal of Finance, American Finance Association, vol. 40(4), pages 1235-1243, September.
- David Heath & Robert Jarrow & Andrew Morton, 2008.
"Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305
World Scientific Publishing Co. Pte. Ltd..
- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
- Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
- Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
- Peter Lakner, 1993. "Martingale Measures For A Class of Right‐Continuous Processes," Mathematical Finance, Wiley Blackwell, vol. 3(1), pages 43-53, January.
- Banz, Rolf W & Miller, Merton H, 1978. "Prices for State-contingent Claims: Some Estimates and Applications," The Journal of Business, University of Chicago Press, vol. 51(4), pages 653-672, October.
- Freddy Delbaen, 1992. "Representing Martingale Measures When Asset Prices Are Continuous And Bounded," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 107-130, April.
- David C. Nachman, 1988. "Spanning and Completeness with Options," Review of Financial Studies, Society for Financial Studies, vol. 1(3), pages 311-328.
- Stephen A. Ross, 1976.
"Options and Efficiency,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 90(1), pages 75-89.
- Stephen A. Ross, "undated". "Options and Efficiency," Rodney L. White Center for Financial Research Working Papers 03-74, Wharton School Rodney L. White Center for Financial Research.
- Stephen A. Ross, "undated". "Options and Efficiency," Rodney L. White Center for Financial Research Working Papers 3-74, Wharton School Rodney L. White Center for Financial Research.
- Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
- John, Kose, 1984. "Market Resolution and Valuation in Incomplete Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(01), pages 29-44, March.
- Jarrow, Robert A., 1986. "A characterization theorem for unique risk neutral probability measures," Economics Letters, Elsevier, vol. 22(1), pages 61-65.
- Robert A. Jarrow & Dilip B. Madan, 1991. "A Characterization of Complete Security Markets On A Brownian Filtration1," Mathematical Finance, Wiley Blackwell, vol. 1(3), pages 31-43, July.
- John, Kose, 1981. "Efficient Funds in a Financial Market with Options: A New Irrelevance Proposition," Journal of Finance, American Finance Association, vol. 36(3), pages 685-695, June.
- Green, Richard C. & Jarrow, Robert A., 1987. "Spanning and completeness in markets with contingent claims," Journal of Economic Theory, Elsevier, vol. 41(1), pages 202-210, February.
More about this item
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:4:y:1994:i:3:p:223-245. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley Content Delivery). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.