IDEAS home Printed from https://ideas.repec.org/a/eee/dyncon/v24y2000i11-12p1491-1497.html
   My bibliography  Save this article

Computational Aspects of Complex Securities

Author

Listed:
  • Selby, Michael J. P.

Abstract

No abstract is available for this item.

Suggested Citation

  • Selby, Michael J. P., 2000. "Computational Aspects of Complex Securities," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1491-1497, October.
  • Handle: RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1491-1497
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1889(99)00084-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Lucien Foldes, 1978. "Optimal Saving and Risk in Continuous Time," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 45(1), pages 39-65.
    2. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-367, May.
    3. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    4. Foldes, Lucien, 1978. "Martingale conditions for optimal saving: discrete time," LSE Research Online Documents on Economics 3231, London School of Economics and Political Science, LSE Library.
    5. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    6. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
    7. Garman, Mark B., 1976. "An algebra for evaluating hedge portfolios," Journal of Financial Economics, Elsevier, vol. 3(4), pages 403-427, October.
    8. Foldes, Lucien, 1978. "Martingale conditions for optimal saving-discrete time," Journal of Mathematical Economics, Elsevier, vol. 5(1), pages 83-96, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
    2. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    3. Foldes, Lucien, 2000. "Valuation and martingale properties of shadow prices: An exposition," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1641-1701, October.
    4. Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457.
    5. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    6. Detemple, Jerome & Sundaresan, Suresh, 1999. "Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 835-872.
    7. Carpenter, Jennifer N., 1998. "The exercise and valuation of executive stock options," Journal of Financial Economics, Elsevier, vol. 48(2), pages 127-158, May.
    8. Wolfgang Stummer, 2002. "Some Potential Means for Venture Valuation," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 7(3), pages 39-52, Fall.
    9. Hui Chen & Jianjun Miao & Neng Wang, 2010. "Entrepreneurial Finance and Nondiversifiable Risk," The Review of Financial Studies, Society for Financial Studies, vol. 23(12), pages 4348-4388, December.
    10. David M. Kreps & Walter Schachermayer, 2020. "Convergence of optimal expected utility for a sequence of discrete‐time markets," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1205-1228, October.
    11. Francisco Venegas Martínez & Abigail Rodríguez Nava, 2009. "Consumo y decisiones de portafolio en ambientes estocásticos: un marco teórico unificador," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 29-64, November.
    12. Venegas-Martínez, Francisco & Polanco-Gaytán, Mayrén (ed.), 2011. "Macroeconomía Estocástica," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, Escuela Superior de Economía, Instituto Politécnico Nacional, edition 1, volume 1, number 005, January.
    13. Jin, Xing & Li, Xun & Tan, Hwee Huat & Wu, Zhenyu, 2013. "A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction," European Journal of Operational Research, Elsevier, vol. 231(2), pages 362-370.
    14. Merton, Robert C., 1993. "On the microeconomic theory of investment under uncertainty," Handbook of Mathematical Economics, in: K. J. Arrow & M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 4, volume 2, chapter 13, pages 601-669, Elsevier.
    15. Muck, Matthias, 2010. "Trading strategies with partial access to the derivatives market," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1288-1298, June.
    16. Stylianos Perrakis, 2022. "From innovation to obfuscation: continuous time finance fifty years later," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 369-401, September.
    17. Robert Cox Merton & Francisco Venegas-Martínez, 2021. "Financial Science Trends and Perspectives: A Review Article," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-15, Enero - M.
    18. Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, September.
    19. Xun Li & Xianping Wu & Wenxin Zhou, 2017. "Optimal stopping investment in a logarithmic utility-based portfolio selection problem," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-10, December.
    20. Yuan-Hung Hsuku, 2007. "Dynamic consumption and asset allocation with derivative securities," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 137-149.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1491-1497. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jedc .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.