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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- Peter J. Hammond, 1976. "Changing Tastes and Coherent Dynamic Choice," Review of Economic Studies, Oxford University Press, vol. 43(1), pages 159-173.
- Radner, Roy, 1972. "Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets," Econometrica, Econometric Society, vol. 40(2), pages 289-303, March.
- Robert C. Merton & Marti G. Subrahmanyam, 1974. "The Optimality of a Competitive Stock Market," Bell Journal of Economics, The RAND Corporation, vol. 5(1), pages 145-170, Spring.
- Hayne E. Leland, 1973.
"Production Theory and the Stock Market,"
Cowles Foundation Discussion Papers
361, Cowles Foundation for Research in Economics, Yale University.
- Stephen A. Ross, 1976. "Options and Efficiency," The Quarterly Journal of Economics, Oxford University Press, vol. 90(1), pages 75-89.
- Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
- J. E. Stiglitz, 1972. "On the Optimality of the Stock Market Allocation of Investment," The Quarterly Journal of Economics, Oxford University Press, vol. 86(1), pages 25-60.
- Hart, Oliver D., 1975. "On the optimality of equilibrium when the market structure is incomplete," Journal of Economic Theory, Elsevier, vol. 11(3), pages 418-443, December.
- Kreps, David M., 1981. "Arbitrage and equilibrium in economies with infinitely many commodities," Journal of Mathematical Economics, Elsevier, vol. 8(1), pages 15-35, March.
- K. J. Arrow, 1964. "The Role of Securities in the Optimal Allocation of Risk-bearing," Review of Economic Studies, Oxford University Press, vol. 31(2), pages 91-96.
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