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Spanning with American options

  • Baptista, Alexandre M.

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File URL: http://www.sciencedirect.com/science/article/B6WJ3-48712NR-4/2/98e79d81753184c9fce5e9f9c4fb4a51
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Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 110 (2003)
Issue (Month): 2 (June)
Pages: 264-289

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Handle: RePEc:eee:jetheo:v:110:y:2003:i:2:p:264-289
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622869

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  1. Geanakoplos, John, 1990. "An introduction to general equilibrium with incomplete asset markets," Journal of Mathematical Economics, Elsevier, vol. 19(1-2), pages 1-38.
  2. John Geanakoplos, 1997. "An Introduction to General Equilibrium with Incomplete Asset Markets," Levine's Working Paper Archive 1115, David K. Levine.
  3. Gabrielle Demange & Guy Laroque, 1999. "Efficiency and options on the market index," Economic Theory, Springer, vol. 14(1), pages 227-235.
  4. Kahn, Charles M & Krasa, Stefan, 1993. "Non-existence and Inefficiency of Equilibria with American Options," Economic Theory, Springer, vol. 3(1), pages 169-76, January.
  5. Magill, Michael J. P. & Shafer, Wayne J., 1990. "Characterisation of generically complete real asset structures," Journal of Mathematical Economics, Elsevier, vol. 19(1-2), pages 167-194.
  6. Hakansson, Nils H, 1978. "Welfare Aspects of Options and Supershares," Journal of Finance, American Finance Association, vol. 33(3), pages 759-76, June.
  7. 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.
  8. Donald J. Brown & Stephen A. Ross, 1988. "Spanning, Valuation and Options," Cowles Foundation Discussion Papers 873, Cowles Foundation for Research in Economics, Yale University.
  9. 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.
  10. Nils H. Hakansson., 1978. "Welfare Aspects of Options and Supershares," Research Program in Finance Working Papers 68, University of California at Berkeley.
  11. Friesen, Peter H, 1979. "The Arrow-Debreu Model Extended to Financial Markets," Econometrica, Econometric Society, vol. 47(3), pages 689-707, May.
  12. David M. Kreps, 1982. "Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing Model," NBER Chapters, in: The Economics of Information and Uncertainty, pages 203-232 National Bureau of Economic Research, Inc.
  13. Ross, Stephen A, 1976. "Options and Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 90(1), pages 75-89, February.
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