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Abstract: this paper our aim is to consider the pricing of claims in markets which are no longer complete. However, in a sense to be described below prices remain preference independent. Any non-attainable contingent claim carries risk, and any pricing mechanism makes implicit or explicit assumptions about utilities and preferences. The `completeness' property of a market can be lost in many ways; for example by the introduction of transaction costs, (see [6]), or when a small number of stocks have price ... (Update)
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BibTeX entry: (Update)
@misc{ first-option,
author = "David Hobson First",
title = "Option Pricing In Incomplete Markets",
url = "citeseer.ist.psu.edu/763029.html" }
Citations (may not include all citations):434 The pricing of options and corporate liabilities (context) - BLACK, SCHOLES - 1973
294 Brownian Motion and Stochastic Calculus (context) - KARATZAS, SHREVE - 1988
125 Martingales and Stochastic Integrals in the theory of contin.. (context) - HARRISON, PLISKA - 1981
53 Hedging of contingent claims under incomplete information (context) - OLLMER, SCHWEIZER - 1990
25 Optimal Replication of Contingent Claims Under Transaction C.. (context) - HODGES, NEUBERGER - 1989
20 Mean-variance hedging in continuous time (context) - DUFFIE, RICHARDSON - 1991
13 Optimization Problems in the Theory of Continuous Trading (context) - KARATZAS - 1989
12 Option Hedging for Semimartingales (context) - SCHWEIZER - 1991
11 Martingale and Duality methods for Utility Maximisation in a.. (context) - KARATZAS, LEHOCSKY et al.
10 Markov Processes and Martingales (context) - ROGERS, WILLIAMS - 1987
7 Hedging of non-redundant contingent claims (context) - OLLMER, SONDERMAN - 1986
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