Dividing gains between a client and her agent
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References listed on IDEAS
- Küchler, Uwe & Tappe, Stefan, 2008. "Bilateral gamma distributions and processes in financial mathematics," Stochastic Processes and their Applications, Elsevier, vol. 118(2), pages 261-283, February.
- Vicky Henderson & Rafal Wojakowski, 2001. "On the Equivalence of Floating and Fixed-Strike Asian Options," OFRC Working Papers Series 2001mf08, Oxford Financial Research Centre.
- José Fajardo & Ernesto Mordecki, 2014.
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- José Fajardo & Ernesto Mordecki, 2006. "Skewness Premium with Lévy Processes," IBMEC RJ Economics Discussion Papers 2006-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
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- Peter Carr & Katrina Ellis & Vishal Gupta, 1998. "Static Hedging of Exotic Options," Journal of Finance, American Finance Association, vol. 53(3), pages 1165-1190, June.
More about this item
KeywordsAgency; investment; Neyman-Pearson lemma; complete market;
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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