Valuation and martingale properties of shadow prices: An exposition-Reference-Cited by-同舟云学术

Valuation and martingale properties of shadow prices: An exposition

Published:2000-10 Issue:11-12 Volume:24 Page:1641-1701
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Foldes Lucien

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference29 articles.

1. Andreasen, J., Jensen, B., Poulsen, R., 1996. New skin for the old ceremony: eight different derivations of the Black–Scholes formula. Preprint, Department of Operations Research, Aarhus University.

2. Uncertainty and the economics of medical care;Arrow;American Economic Review,1963

3. Uncertainty and the evaluation of public investment decisions;Arrow;American Economic Review,1970

4. Pricing by arbitrage under arbitrary information;Babbs;Mathematical Finance,1998

5. Option pricing with transaction costs and a nonlinear Black–Scholes equation;Barles;Finance and Stochastics,1998

Cited by 16 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Is it a boy or a girl? Newborn gender and household portfolio decisions;European Financial Management;2023-11-22

2. An Indifference Approach to the Cost of Capital Constraints: KVA and Beyond;SSRN Electronic Journal;2017

3. Weather Derivatives;Wiley StatsRef: Statistics Reference Online;2014-09-29

4. DO ARBITRAGE-FREE PRICES COME FROM UTILITY MAXIMIZATION?;Mathematical Finance;2014-05-20

5. Utility Indifference Valuation;Encyclopedia of Quantitative Finance;2010-05-15