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Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing Model

In: The Economics of Information and Uncertainty

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  • David M. Kreps

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This chapter was published in:
  • John J. McCall, 1982. "The Economics of Information and Uncertainty," NBER Books, National Bureau of Economic Research, Inc, number mcca82-1.
    • This item is provided by National Bureau of Economic Research, Inc in its series NBER Chapters with number 4436.
    Handle: RePEc:nbr:nberch:4436
    Contact details of provider: Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
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    Cited by:

    1. Madan, Dilip B & Milne, Frank & Shefrin, Hersh, 1989. "The Multinomial Option Pricing Model and Its Brownian and Poisson Limits," Review of Financial Studies, Society for Financial Studies, vol. 2(2), pages 251-65.
    2. Timothy J. Kehoe & David K. Levine, 2006. "Bankruptcy and collateral in debt constrained markets," Staff Report 380, Federal Reserve Bank of Minneapolis.
    3. Talmain, Gabriel, 1999. "On the number of currencies needed to implement the complete asset market allocation," Journal of Mathematical Economics, Elsevier, vol. 31(2), pages 251-263, March.
    4. José Penalva, 2000. "Full insurance, asymmetric information and genetic testing," Economics Working Papers 461, Department of Economics and Business, Universitat Pompeu Fabra.
    5. Marco Celentani & J. Ignacio Conde-Ruiz & Klaus Desmet, . "Endogenous Policy Leads to Inefficient Risk Sharing," Working Papers 2003-08, FEDEA.
    6. Marco Celentani & J. Ignacio Conde & Klaus Desmet, 2002. "Endogenous policy leads to inefficient risk sharing," Economics Working Papers 593, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2003.
    7. Patrick Beißner, 2013. "Radner equilibria under ambiguous volatility," Working Papers 493, Bielefeld University, Center for Mathematical Economics.
    8. Wang, Xiao-Tian & Zhu, En-Hui & Tang, Ming-Ming & Yan, Hai-Gang, 2010. "Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(3), pages 445-451.
    9. Bryan Ellickson, 1995. "Intertemporal Insurance," UCLA Economics Working Papers 742, UCLA Department of Economics.
    10. Baptista, Alexandre M., 2003. "Spanning with American options," Journal of Economic Theory, Elsevier, vol. 110(2), pages 264-289, June.
    11. Bryan Ellickson & José Penalva-Zuasti, 1996. "Intertemporal Insurance," Center for Financial Institutions Working Papers 96-19, Wharton School Center for Financial Institutions, University of Pennsylvania.
    12. Mas-Colell, Andreu & Zame, William R., 1996. "The existence of security market equilibrium with a non-atomic state space," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 63-84.
    13. Philippe Bertrand & Jean-luc Prigent, 2014. "Equilibrium of Financial Derivative Markets under Portfolio Insurance Constraints," Working Papers 2014-330, Department of Research, Ipag Business School.
    14. Alexandre Baptista, 2000. "Options and Efficiency in Multiperiod Security Markets," Econometric Society World Congress 2000 Contributed Papers 0299, Econometric Society.

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