Incomplete markets, transaction costs and liquidity effects
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References listed on IDEAS
- Darrell Duffie & Chi-Fu Huang, 2005.
"Implementing Arrow-Debreu Equilibria By Continuous Trading Of Few Long-Lived Securities,"
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- Bernard Bensaid & Jean-Philippe Lesne & Henri Pagès & José Scheinkman, 1992. "Derivative Asset Pricing With Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 63-86.
More about this item
KeywordsContingent Claim Incomplete Markets Transaction Costs;
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