Contiuous Time Equilibrium Pricing of Nonredundant Assets
Download full text from publisher
Other versions of this item:
- Elyes Jouini & Clotilde Napp, 1999. "Continuous Time Equilibrium Pricing of Nonredundant Assets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-008, New York University, Leonard N. Stern School of Business-.
References listed on IDEAS
- 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.
- Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
- A, Bizid & Elyès Jouini & Pf. Koehl, 1997. "Pricing in Incomplete Markets : An Equilibrium Approach," Working Papers 97-41, Center for Research in Economics and Statistics.
- 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.
- 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.
- Elyégs Jouini & Hédi Kallal, 1995. "Arbitrage In Securities Markets With Short-Sales Constraints," Mathematical Finance, Wiley Blackwell, vol. 5(3), pages 197-232.
- He, Hua & Leland, Hayne, 1993. "On Equilibrium Asset Price Processes," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 593-617.
- Bick, Avi, 1987. "On the Consistency of the Black-Scholes Model with a General Equilibrium Framework," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(03), pages 259-275, September.
- repec:crs:wpaper:9514 is not listed on IDEAS
- Huyěn Pham & Nizar Touzi, 1996. "Equilibrium State Prices In A Stochastic Volatility Model," Mathematical Finance, Wiley Blackwell, vol. 6(2), pages 215-236.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jouini, Elyes, 2001.
"Arbitrage and control problems in finance: A presentation,"
Journal of Mathematical Economics,
Elsevier, vol. 35(2), pages 167-183, April.
- Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152, HAL.
- Bizid, Abdelhamid & Jouini, Elyès, 2005.
"Equilibrium Pricing in Incomplete Markets,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 40(04), pages 833-848, December.
- Elyès Jouini & Abdelhamid Bizid, 2003. "Equilibrium Pricing in Incomplete Markets," Finance 0312004, EconWPA.
- Abdelhamid Bizid & Elyès Jouini, 2005. "Equilibrium Pricing in Incomplete Markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00176484, HAL.
- Elyès Jouini & Clotilde Napp, 2002. "Arbitrage pricing and equilibrium pricing : compatibility conditions," Post-Print halshs-00176423, HAL.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:crs:wpaper:98-30. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sri Srikandan). General contact details of provider: http://edirc.repec.org/data/crestfr.html .