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Valuation and martingale properties of shadow prices: An exposition

  • Foldes, Lucien
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    File URL: http://www.sciencedirect.com/science/article/B6V85-412RWNR-7/2/1b81ed9a63a697d162ec2514a67fc1d3
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 24 (2000)
    Issue (Month): 11-12 (October)
    Pages: 1641-1701

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    Handle: RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1641-1701
    Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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    1. Duffie, J Darrell & Huang, Chi-fu, 1985. "Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities," Econometrica, Econometric Society, vol. 53(6), pages 1337-56, November.
    2. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-86, March.
    3. Orlin J. Grabbe, . "The Pricing of Call and Put Options on Foreign Exchange," Rodney L. White Center for Financial Research Working Papers 06-83, Wharton School Rodney L. White Center for Financial Research.
    4. Arrow, Kenneth J & Lind, Robert C, 1970. "Uncertainty and the Evaluation of Public Investment Decisions," American Economic Review, American Economic Association, vol. 60(3), pages 364-78, June.
    5. Duffie, Darrell, 1991. "The theory of value in security markets," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 31, pages 1615-1682 Elsevier.
    6. Simon H. Babbs & Michael J. P. Selby, 1998. "Pricing by Arbitrage Under Arbitrary Information," Mathematical Finance, Wiley Blackwell, vol. 8(2), pages 163-168.
    7. Orlin J. Grabbe, . "The Pricing of Call and Put Options on Foreign Exchange," Rodney L. White Center for Financial Research Working Papers 6-83, Wharton School Rodney L. White Center for Financial Research.
    8. Nicole El Karoui & Monique Jeanblanc-Picqué, 1998. "Optimization of consumption with labor income," Finance and Stochastics, Springer, vol. 2(4), pages 409-440.
    9. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
    10. Chirinko, Robert S., 1996. "Investment under uncertainty: A review essay," Journal of Economic Dynamics and Control, Elsevier, vol. 20(9-10), pages 1801-1808.
    11. Foldes, Lucien, 1978. "Optimal Saving and Risk in Continuous Time," Review of Economic Studies, Wiley Blackwell, vol. 45(1), pages 39-65, February.
    12. Orlin Grabbe, J., 1983. "The pricing of call and put options on foreign exchange," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 239-253, December.
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