Minimax price bounds in incomplete markets
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Volume (Year): 35 (2011)
Issue (Month): 3 (July)
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References listed on IDEAS
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- 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.
- 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.
- Michael Magill & Martine Quinzii (ed.), 2008. "Incomplete Markets," Books, Edward Elgar Publishing, volume 0, number 4204.
- 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 637-54, May-June.
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