Dynamic Spanning: Are Options An Appropriate Instrument?
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Bajeux, I. & Rochet, J.C., 1994. "Dynamic Spanning: Are Options an Appropriate Instrument?," Papers 94.329, Toulouse - GREMAQ.
References listed on IDEAS
- Einmahl, J.H.J., 1987. "Multivariate empirical processes," Other publications TiSEM 4d74fa6b-5281-48ea-aa4d-5, Tilburg University, School of Economics and Management.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Alziary, Benedicte & Decamps, Jean-Paul & Koehl, Pierre-Francois, 1997.
"A P.D.E. approach to Asian options: analytical and numerical evidence,"
Journal of Banking & Finance,
Elsevier, vol. 21(5), pages 613-640, May.
- Alziary, B. & Decamps, J-P. & Koehl, P-F., 1996. "A P.D.E. Approach to Asian Options: Analytical and Numerical Evidence," Papers 96.430, Toulouse - GREMAQ.
- Fornari, Fabio & Mele, Antonio, 2001.
"Recovering the probability density function of asset prices using garch as diffusion approximations,"
Journal of Empirical Finance,
Elsevier, vol. 8(1), pages 83-110, March.
- F. Fornari & A. Mele, 2000. "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," THEMA Working Papers 2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Fabio Fornari & Antonio Mele, 2001. "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers) 396, Bank of Italy, Economic Research and International Relations Area.
- Mele, Antonio, 2004.
"General Properties of Rational Stock-Market Fluctuations,"
153, Institute for Advanced Studies.
- Mele, Antonio, 2004. "General properties of rational stock-market fluctuations," LSE Research Online Documents on Economics 24701, London School of Economics and Political Science, LSE Library.
- Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," FMG Discussion Papers dp489, Financial Markets Group.
- Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," Econometric Society 2004 North American Summer Meetings 223, Econometric Society.
- Antonio Mele, 2003.
"Fundamental Properties of Bond Prices in Models of the Short-Term Rate,"
Review of Financial Studies,
Society for Financial Studies, vol. 16(3), pages 679-716, July.
- A. Mele, 2000. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," THEMA Working Papers 2000-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Antonio Mele, 2002. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Working Papers 460, Queen Mary University of London, School of Economics and Finance.
- Alexandre M. Baptista, 2005. "Options And Efficiency In Multidate Security Markets," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 569-587.
- Alexandre Baptista, 2000. "Options and Efficiency in Multiperiod Security Markets," Econometric Society World Congress 2000 Contributed Papers 0299, Econometric Society.
- Alziary Chassat, Bénédicte & Takac, Peter, 2017. "On the Heston Model with Stochastic Volatility: Analytic Solutions and Complete Markets," TSE Working Papers 17-796, Toulouse School of Economics (TSE).
- C. Mancini, 2002. "The European options hedge perfectly in a Poisson-Gaussian stock market model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(2), pages 87-102.
- Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034, June.
- E. Jouini & P. -F. Koehl & N. Touzi, 1997. "Incomplete markets, transaction costs and liquidity effects," The European Journal of Finance, Taylor & Francis Journals, vol. 3(4), pages 325-347.
More about this item
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:6:y:1996:i:1:p:1-16. 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-Blackwell Digital Licensing) or (Christopher F. Baum). 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.
We have no references for this item. You can help adding them by using this form .
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.