IMPLEMENTING ARROW–DEBREU EQUILIBRIA IN APPROXIMATELY COMPLETE SECURITY MARKETS
Author:
Affiliation:
1. Shiga University
Publisher
The Operations Research Society of Japan
Link
https://www.jstage.jst.go.jp/article/jorsj/67/1/67_18/_pdf
Reference27 articles.
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4. [4] B. Batbold, K. Kikuchi, and K. Kusuda: Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk. Mathematics and Financial Economics, 16 (2022), 509–537.
5. [5] D.S. Bates: The crash of 87: Was it expected? The evidence from options markets. Journal of Finance, 46 (1991), 1009–1044.
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