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Minimax price bounds in incomplete markets

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  • Unyong Pyo

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Abstract

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Suggested Citation

  • Unyong Pyo, 2011. "Minimax price bounds in incomplete markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(3), pages 274-295, July.
  • Handle: RePEc:spr:jecfin:v:35:y:2011:i:3:p:274-295 DOI: 10.1007/s12197-009-9108-0
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    File URL: http://hdl.handle.net/10.1007/s12197-009-9108-0
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    References listed on IDEAS

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    1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    2. Brennan, M J, 1979. "The Pricing of Contingent Claims in Discrete Time Models," Journal of Finance, American Finance Association, vol. 34(1), pages 53-68, March.
    3. Basso, A. & Pianca, P., 2001. "Option pricing bounds with standard risk aversion preferences," European Journal of Operational Research, Elsevier, vol. 134(2), pages 249-260, October.
    4. Michael Magill & Martine Quinzii (ed.), 2008. "Incomplete Markets," Books, Edward Elgar Publishing, volume 0, number 4204, September.
    5. LeRoy,Stephen F. & Werner,Jan, 2014. "Principles of Financial Economics," Cambridge Books, Cambridge University Press, number 9781107024120, February.
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    1. repec:hit:hitjec:v:58:y:2017:i:1:p:53-67 is not listed on IDEAS

    More about this item

    Keywords

    Incomplete Markets; Unbiased Minimax Bounds; Good-deal Bounds; Gain-loss Bounds; G12; D52;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets

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