Markets that don’t replicate any option-Reference-Cited by-同舟云学术

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Markets that don’t replicate any option

Published:2002-08 Issue:3 Volume:76 Page:443-447
ISSN:0165-1765
Container-title:Economics Letters
language:en
Short-container-title:Economics Letters

Author:

Aliprantis Charalambos D.,Tourky Rabee

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference10 articles.

1. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

2. Optimal replication of contingent claims under portfolio constraints;Broadie;Review of Financial Studies,1998

3. Spanning, valuation and options;Brown;Economic Theory,1991

4. Optimal replication of options with transaction costs and trading restrictions;Edirisinghe;Journal of Financial and Quantitative Analysis,1993

5. Spanning and completeness in markets with contingent claims;Green;Journal of Economic Theory,1987

Cited by 18 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. Informed options trading around holidays;Journal of Futures Markets;2021-01-19

2. Strategic trade when securitized portfolio values are unknown;Journal of Banking & Finance;2020-06

3. ORPIT: A Matlab Toolbox for Option Replication and Portfolio Insurance in Incomplete Markets;Computational Economics;2019-10-29

4. Strategic Trade when Securitized Portfolio Values Are Unknown;SSRN Electronic Journal;2018

5. An alternative computational method for finding the minimum-premium insurance portfolio;AIP Conference Proceedings;2016

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