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Options Prices in Incomplete Markets* [PDF]
ESAIM: Proceedings and Surveys, 2017 In this paper we consider the valuation of an option with time to expiration T and pay-off function g which is a convex function (as is a European call option), and constant interest rate r = 0, for a variety of underlying price process models ...
Jacod Jean, Protter Philip
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Quantum computational finance for martingale asset pricing in incomplete markets [PDF]
Scientific ReportsA derivative is a financial asset whose future payoff is a function of underlying assets. Pricing a financial derivative involves setting up a market model, finding a martingale (“fair game”) probability measure for the model from the existing asset ...
Patrick Rebentrost +4 more
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Author Correction: Quantum computational finance for martingale asset pricing in incomplete markets [PDF]
Scientific ReportsPatrick Rebentrost +4 more
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Option Pricing in Incomplete Markets
Applied Mathematics Letters, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Qiang Zhang
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On Valuation and Investments of Pension Plans in Discrete Incomplete Markets
Risks, 2023 We study the valuation of a pension fund’s obligations in a discrete time and space incomplete market model. The market’s incompleteness stems from the non-replicability of the wage process that finances the pension plan through time.
Michail Anthropelos, Evmorfia Blontzou
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Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets
Computation, 2023 This paper studies the portfolio selection problem where tradable assets are a bank account, and standard put and call options are written on the S&P 500 index in incomplete markets in which there exist bid–ask spreads and finite liquidity.
Pornnapat Yamphram +2 more
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Informational Hold Up and Intermediaries
Games, 2022 Why do some incomplete information markets feature intermediaries while others do not? I study the allocation of two goods in an incomplete information setting with a single principal, multiple agents with unit demand, and interdependent valuations.
Naomi Utgoff
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Information Revelation and Market Incompleteness [PDF]
Review of Economic Studies, 2000 \documentstyle[portada,11pt]{article} This paper shows that the presence of private information in an economy can be a source of market incompleteness even when it is feasible to issue a set of securities that completely eliminates the informational asymmetries in equilibrium.
José M. Marín, Rohit Rahi
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Fiscal Consolidation: Welfare Effects of the Adjustment Speed
Notas Económicas, 2020 This article studies the response of social welfare to fiscal consolidations, by focusing on a less debated characteristic of fiscal plans: the speed of deleveraging. A neoclassical overlapping generations model is calibrated to the German economy, and a
Miguel Fonseca
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Several Limit Theorems on Fuzzy Quantum Space
Mathematics, 2021 The probability theory using fuzzy random variables has applications in several scientific disciplines. These are mainly technical in scope, such as in the automotive industry and in consumer electronics, for example, in washing machines, televisions ...
Viliam Ďuriš +2 more
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