Martingales and arbitrage in multiperiod securities markets

Author:

Harrison J.Michael,Kreps David M

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference21 articles.

1. The role of securities in the optimal allocation of risk-bearing;Arrow;Rev. Econ. Stud.,1964

2. Topics in Stochastic Processes;Ash,1975

3. Symposium on the Optimality of Competitive Capital Markets,1974

4. H. Leland, Production theory and the stock market, 125–144; R. Merton and M. Subrahmanyam, The optimality of a competitive stock market, 145–170; S. Ekern and R. Wilson, On the theory of the firm in an economy with incomplete markets, 171–180; R. Radner, A note on unanimity of stockholders' preferences among alternative production plans: A reformulation of the Ekern-Wilson model, 181–186.

5. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973

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