A Partial Equilibrium Model of Option Markets (original) (raw)

Profile image of Kenneth JuddKenneth Judd

2000, Social Science Research Network

Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral

Felix Kubler

Econometrica, 2003

View PDFchevron_right

Quasi-option value under strategic interactions

Tomoki Fujii

Resource and Energy Economics, 2012

View PDFchevron_right

Corrigendum to “Equilibrium and welfare in markets with financially constrained arbitrageurs” [J. Financial Economics 66 (2002) 361]

Dimitri Vayanos

Journal of Financial Economics, 2003

View PDFchevron_right

A Simple Model for Pricing Derivative Securities with Equity, Interest-Rate, Default and Liquidity Risk

Sanjiv Das

SSRN Electronic Journal, 2003

View PDFchevron_right

Equilibrium Option Pricing and Market Incompleteness Driven by Illiquidity

João Amaro de Matos

2001

View PDFchevron_right

Numerical methods for the American Option Valuation Problem

Panagiotis Hadjidoukas

2007

View PDFchevron_right

Towards Non-Equilibrium Option Pricing Theory

Matthias Otto

International Journal of Theoretical and Applied Finance, 2000

View PDFchevron_right

Mixed Equilibrium in a Downsian Model with a Favored Candidate

Enriqueta Aragones

Journal of Economic Theory, 2002

View PDFchevron_right

Efficient pricing of Asian options by the PDE approach

Dyakopu Neliswa

Journal of Computational Finance, 2005

View PDFchevron_right

Arbitrage risk induced by transaction costs

Edward Piotrowski

Physica A: Statistical Mechanics and its Applications, 2004

View PDFchevron_right

Loading...

Loading Preview

Sorry, preview is currently unavailable. You can download the paper by clicking the button above.

A Simple Micro-Model of Market Dynamics

Giulio Bottazzi

Lecture Notes in Economics and Mathematical Systems, 2004

View PDFchevron_right

Pricing of Equities with Embedded Optional Clauses: Study of PPR's Proposal on Gucci

Vivien Brunel

SSRN Electronic Journal, 2003

View PDFchevron_right

On the modelling of option prices

Dilip Madan

Quantitative Finance, 2001

View PDFchevron_right

P

Wil van der Aalst

View PDFchevron_right

Ü

Ali MANSOUR

View PDFchevron_right

Vonu econ 2013 18 3(1)

Vladyslav Danyliuk

View PDFchevron_right

Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt

Rangarajan Sundaram

SSRN Electronic Journal, 2000

View PDFchevron_right

A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives

Marti Subrahmanyam

The Journal of Financial and Quantitative Analysis, 2003

View PDFchevron_right

The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model

Marti Subrahmanyam

SSRN Electronic Journal, 2000

View PDFchevron_right

Exact arbitrage and portfolio analysis in large asset markets

MOHAMMED ALI KHAN

2003

View PDFchevron_right

Market fluctuations I: scaling

Marcel Ausloos

View PDFchevron_right

ÅËÅÊÒÐÎÎÑÀÄAEÅÍÍß ÅËÅÊÒÐÎÊÀÒÀ˲ÒÈ×ÍÈÕ ÏÎÊÐÈÒÒ²Â Ó ÑÈÑÒÅÌÀÕ ÍÀ ÎÑÍβ ÍÈÇÜÊÎÒÅÌÏÅÐÀÒÓÐÍÈÕ ÅÂÒÅÊÒÈ×ÍÈÕ ÐÎÇ×ÈÍÍÈʲÂ: ÎÃËßÄ Ë²ÒÅÐÀÒÓÐÈ

Vyacheslav Protsenko

View PDFchevron_right

Testing the Rational Expectations Hypothesis with Agent-Based Models of Stock Markets

Chia-Hsuan Yeh, Shu-Heng Chen

View PDFchevron_right

Markov Chain Approximations For Term Structure Models

David Backus

1999

View PDFchevron_right

Empirical assessment of an intertemporal option pricing model with latent variables

Richard Luger

Journal of Econometrics, 2003

View PDFchevron_right

The Econometrics of Option Pricing

Rene Garcia

SSRN Electronic Journal, 2000

View PDFchevron_right

A Test of a General Equilibrium Stock Option Pricing Model

Peter Bossaerts

Mathematical Finance, 1993

View PDFchevron_right

On the theory of option pricing

Alain Bensoussan

1984

View PDFchevron_right

Market Microstructure Models and the Markov Property

João Amaro de Matos

Economics Working Papers, 2000

View PDFchevron_right

Option pricing

Clifford Smith

Journal of Financial Economics, 1976

View PDFchevron_right

Predicting stock markets in boundary conditions with local models

Gianluca Bontempi

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520), 2000

View PDFchevron_right

THE VALUATION OF MULTIPLE OPTIONS: AN APPLICATION TO THE EXCHANGE RATE MARKET OF THE ITALIAN LIRA

Alberto Bucci, Emilio Barone

2000

View PDFchevron_right

replreq.ps.

Peter Reiher

View PDFchevron_right

EconomicsMicroeconomicsHeterogeneitySocial Science Research NetworkDemandEquilibriumSupply