Minimax price bounds in incomplete markets
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- 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.
- 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.
- 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.
- Michael Magill & Martine Quinzii (ed.), 2008. "Incomplete Markets," Books, Edward Elgar Publishing, volume 0, number 4204, September.
- LeRoy,Stephen F. & Werner,Jan, 2014.
"Principles of Financial Economics,"
Cambridge University Press, number 9781107024120, February.
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- LeRoy,Stephen F. & Werner,Jan, 2014. "Principles of Financial Economics," Cambridge Books, Cambridge University Press, number 9781107673021, February.
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KeywordsIncomplete Markets; Unbiased Minimax Bounds; Good-deal Bounds; Gain-loss Bounds; G12; D52;
- 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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