Pricing a Nontradeable Asset and Its Derivatives

Author:

Luenberger D. G.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Reference16 articles.

1. Sharpe, W. F., Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, Vol. 19, pp. 425–442, 1964.

2. Black, F., and Scholes, M., The Pricing of Options and Corporate Liabilities, Journal of Political Economy Vol. 81, pp. 637–654, 1973.

3. He, H., and Pearson, N. D., Consumption and Portfolio Policies with Incomplete Markets and Short-Sale Constraints: The Infinite-Dimensional Case, Journal of Economic Theory, Vol. 54, pp. 259–304, 1991.

4. Föllmer, H, and Sondermann, D., Hedging of Nonredundant Contingent Claims, Contributions to Mathematical Economics, in Honor of Gérard Debreu, Edited by W. Hildenbrand and A. Mas-Colell, North Holland, Amsterdam, Holland, pp. 205–223, 1986.

5. Davis, M. H. A., Option Pricing in Incomplete Markets, Mathematics of Derivative Securities, Edited by M. A. H. Dempster and S. Pliska, Cambridge University Press, Cambridge, England, pp. 216–226, 1997.

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