FUTURES MARKETS AND COMMODITY OPTIONS - HEDGING AND OPTIMALITY IN INCOMPLETE MARKETS

被引：46

作者：

BREEDEN, DT

机构：

来源：

关键词：

D O I：

10.1016/0022-0531(84)90055-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：275 / 300

页数：26

共 36 条

[21] HAKANSSON N, FINANCIAL DECISION M
[22] WELFARE ASPECTS OF OPTIONS AND SUPERSHARES
HAKANSSON, NH
[J]. JOURNAL OF FINANCE, 1978, 33 (03) : 759 - 776
[23] HAKANSSON NH, 1976, FIN ANAL J, P2
[24] OPTIMALITY OF EQUILIBRIUM WHEN MARKET STRUCTURE IS INCOMPLETE
HART, OD
[J]. JOURNAL OF ECONOMIC THEORY, 1975, 11 (03) : 418 - 443
[25] HOAG JW, 1978, 19 COL CTR STUD FUT
[26] LONG JB, 1974, J FINANCIAL EC JUL, P131
[27] ALLOCATION OF INDIVIDUAL RISKS IN LARGE MARKETS
MALINVAUD, E
[J]. JOURNAL OF ECONOMIC THEORY, 1972, 4 (02) : 312 - 328
[28] THEORY OF RATIONAL OPTION PRICING
MERTON, RC
[J]. BELL JOURNAL OF ECONOMICS, 1973, 4 (01): : 141 - 183
[29] INTERTEMPORAL CAPITAL ASSET PRICING MODEL
MERTON, RC
[J]. ECONOMETRICA, 1973, 41 (05) : 867 - 887
[30] PYE G, 1972, MATH METHODS INVESTM, P49