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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Citations
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Cited by:
- 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.
- Marco Celentani & J. Ignacio Conde-Ruiz & Klaus Desmet, 2004.
"Endogenous Policy Leads to Inefficient Risk Sharing,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(3), pages 758-787, July.
- Marco Celentani & J. Ignacio Conde-Ruiz & Klaus Desmet, "undated". "Endogenous Policy Leads to Inefficient Risk Sharing," Working Papers 2003-08, FEDEA.
- 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.
- Celentani, Marco & Conde-Ruiz, José Ignacio & Desmet, Klaus, 2003. "Endogenous Policy Leads to Inefficient Risk-Sharing," CEPR Discussion Papers 3866, C.E.P.R. Discussion Papers.
- Bertrand, Philippe & Prigent, Jean-luc, 2016.
"Equilibrium of financial derivative markets under portfolio insurance constraints,"
Economic Modelling, Elsevier, vol. 52(PA), pages 278-291.
- Philippe Bertrand & Jean-Luc Prigent, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Post-Print hal-01833070, HAL.
- Jose S. Penalva Zuasti, 2001.
"Insurance with Frequency Trading: A Dynamic Analysis of Efficient Insurance Markets,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(4), pages 790-822, October.
- José Penalva, 2000. "Full insurance, asymmetric information and genetic testing," Economics Working Papers 461, Department of Economics and Business, Universitat Pompeu Fabra.
- Alexandre Baptista, 2000. "Options and Efficiency in Multiperiod Security Markets," Econometric Society World Congress 2000 Contributed Papers 0299, Econometric Society.
- 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.
- 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 251-265.
- Dilip B. Madan & Frank Milne & Hersh Shefrin, 1990. "The Multinomial Option Pricing Model And Its Brownian And Poisson Limits," Working Paper 1162, Economics Department, Queen's University.
- repec:ipg:wpaper:2014-330 is not listed on IDEAS
- Baptista, Alexandre M., 2003. "Spanning with American options," Journal of Economic Theory, Elsevier, vol. 110(2), pages 264-289, June.
- Bryan Ellickson, 1995. "Intertemporal Insurance," UCLA Economics Working Papers 742, UCLA Department of Economics.
- Timothy J. Kehoe & David K. Levine, 2008.
"Bankruptcy and Collateral in Debt Constrained Markets,"
Chapters, in: Roger E.A. Farmer (ed.),Macroeconomics in the Small and the Large, chapter 5,
Edward Elgar Publishing.
- Timothy J. Kehoe & David K. Levine, 2006. "Bankruptcy and Collateral in Debt Constrained Markets," NBER Working Papers 12656, National Bureau of Economic Research, Inc.
- Timothy J. Kehoe & David K. Levine, 2006. "Bankruptcy and collateral in debt constrained markets," Staff Report 380, Federal Reserve Bank of Minneapolis.
- A. Pinna, 2015. "Price Formation of Pledgeable Securities," Working Paper CRENoS 201511, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- McMahon, Michael & Peiris, M. Udara & Polemarchakis, Herakles, 2018. "Perils of unconventional monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 92-114.
- Beißner, Patrick, 2016. "Radner Equilibria under Ambiguous Volatility," Center for Mathematical Economics Working Papers 493, Center for Mathematical Economics, Bielefeld University.
- Perez, Diego J., 2017. "Sovereign debt maturity structure under asymmetric information," Journal of International Economics, Elsevier, vol. 108(C), pages 243-259.
- 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.
- Alessandro Dovis, 2013. "Efficient Sovereign Default," 2013 Meeting Papers 293, Society for Economic Dynamics.
- Conde-Ruiz, J. Ignacio & Celentani, Marco, 1996. "The political economy of international private insurance and fiscal policy," UC3M Working papers. Economics 6164, Universidad Carlos III de Madrid. Departamento de Economía.
- 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.
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