IDEAS home Printed from https://ideas.repec.org/e/c/pbe195.html
   My authors  Follow this author

Bernard Bensaid

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Bensaid, B. & Boutillier, M., 1997. "Le contrat notionnel : efficience et causalité," Working papers 44, Banque de France.

    Cited by:

    1. Capelle-Blancard, G. & Vandelanoite, S., 2000. "Relations intrajournalieres entre l'indice CAC 40 et les options sur indice. Quel est le marche prefere des investisseurs informes ?," Papiers d'Economie Mathématique et Applications 2000.110, Université Panthéon-Sorbonne (Paris 1).
    2. Gunther Capelle-Blancard & Séverine Vandelanoite, 2000. "Intraday relations between CAC 40 cash index and CAC 40 index options [Relations intrajournalières entre l'indice CAC 40 et les options sur indice. Quel est le marché préféré des investisseurs info," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03727911, HAL.

  2. Bensaid, B. & De Bandt, O., 1996. "Les strategies de "Stop Loss" : Theorie et application au contrat notionnel du MATIF," Working papers 36, Banque de France.

    Cited by:

    1. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
    2. Savaser, Tanseli, 2011. "Exchange rate response to macronews: Through the lens of microstructure," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 107-126, February.
    3. John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, Department of Economics and Business Economics, Aarhus University.
    4. Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80.
    5. Carol L. Osler, 2001. "Currency orders and exchange-rate dynamics: explaining the success of technical analysis," Staff Reports 125, Federal Reserve Bank of New York.

  3. Bensaid, B.B. & Jeanne, O., 1995. "The Instability of Fixed Exchange Rate Systems when Raising the Nominal Interest Rate is Costly," Papers 9536, Tilburg - Center for Economic Research.

    Cited by:

    1. Guglielmo Maria Caporale & Andrea Cipollini & Panicos Demetriades, 2003. "Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity," CEIS Research Paper 23, Tor Vergata University, CEIS.
    2. Daniel Stefan ARMEANU & Adrian ENCIU & Sorin-Iulian CIOACA, 2017. "How Important is the Contagion Effect for the Romanian Capital Market?," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 265-282, June.
    3. de Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic Risk: A Survey," CEPR Discussion Papers 2634, C.E.P.R. Discussion Papers.
    4. Eijffinger, S.C.W. & Goderis, B.V.G., 2008. "The effect of monetary policy on exchange rates during currency crises : The role of debt, institutions and financial openness," Other publications TiSEM 4302d92e-464e-40f4-b67e-a, Tilburg University, School of Economics and Management.
    5. Eichengreen, Barry, 1994. "History and Reform of the International Monetary System," Center for International and Development Economics Research (CIDER) Working Papers 233391, University of California-Berkeley, Department of Economics.
    6. Flood, Robert P. & Jeanne, Olivier, 2005. "An interest rate defense of a fixed exchange rate?," Journal of International Economics, Elsevier, vol. 66(2), pages 471-484, July.
    7. Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1994. "Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System," NBER Working Papers 4898, National Bureau of Economic Research, Inc.
    8. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    9. Persson, Torsten & Tabellini, Guido, 1997. "Political Economics and Macroeconomic Policy," CEPR Discussion Papers 1759, C.E.P.R. Discussion Papers.
    10. Eichengreen, Barry & Rose, Andrew K & Wyplosz, Charles, 1994. "Is There a Safe Passage to EMU? Evidence on Capital Controls and a Proposal," CEPR Discussion Papers 1061, C.E.P.R. Discussion Papers.
    11. Maurice Obstfeld, 1995. "Models of Currency Crises with Self-Fulfilling Features," NBER Working Papers 5285, National Bureau of Economic Research, Inc.
    12. Mundaca,B.G. & Strand,J., 1999. "Speculative attacks in the exchange market with a band policy : a sequential game analysis," Memorandum 01/1999, Oslo University, Department of Economics.
    13. David Fielding & Anja Shortland, 2005. "How does political violence affect confidence in a local currency? Evidence from Egypt," Journal of International Development, John Wiley & Sons, Ltd., vol. 17(7), pages 841-866.
    14. Post, Erik, 2007. "Macroeconomic imbalances and exchange rate regime shifts," Working Paper Series 2007:4, Uppsala University, Department of Economics.
    15. Árvai, Zsófia & Vincze, János, 1998. "Valuták sebezhetősége pénzügyi válságok a kilencvenes években [Vulnerability of currencies financial crises in the nineties]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 509-533.
    16. Sylvester C. W. Eijffinger & Benedikt Goderis, 2007. "Currency Crises, Monetary Policy and Corporate Balance Sheets," German Economic Review, Verein für Socialpolitik, vol. 8(3), pages 309-343, August.
    17. Bernard Bensaïd & Olivier Jeanne, 1996. "Fragilité des systèmes de change fixe et contrôle des capitaux," Économie et Prévision, Programme National Persée, vol. 123(2), pages 163-174.
    18. Yuk-shing CHENG & Chi-shing CHAN & Chor-yiu SIN, 2004. "Currency attack/defense with two-sided private information," Econometric Society 2004 Far Eastern Meetings 395, Econometric Society.
    19. Loisel, Olivier & Martin, Philippe, 2001. "Coordination, cooperation, contagion and currency crises," Journal of International Economics, Elsevier, vol. 53(2), pages 399-419, April.
    20. Raphaëlle Bellando & S. Pfister & Jean-Paul Pollin, 2000. "Evolution et déterminants de la crédibilité de l'Union Monétaire Européenne durant la phase de transition : une étude comparative France, Italie et Grande Bretagne," Post-Print halshs-00287977, HAL.
    21. Andryakov Alexander & Gurvich Evsey, 2002. "A Model of the Russian Crisis Development," EERC Working Paper Series 02-03e, EERC Research Network, Russia and CIS.
    22. Philippe Aghion & Philippe Bacchetta & Abhijit Banerjee, 2000. "Currency Crises and Monetary Policy in an Economy with Credit Constraints," Working Papers 00.07, Swiss National Bank, Study Center Gerzensee.
    23. Benedikt Goderis & Vasso P. Ioannidou, 2006. "Do High Interest Rates Defend Currencies During Speculative Attacks? New evidence," CSAE Working Paper Series 2006-11, Centre for the Study of African Economies, University of Oxford.
    24. Eijffinger, S.C.W. & Goderis, B.V.G., 2005. "Currency Crisis, Monetary Policy and Corporate Balance Sheet Vulnerabilities," Discussion Paper 2005-113, Tilburg University, Center for Economic Research.
    25. Patrick Artus & Claude Jessua, 1996. "La spéculation," Revue Économique, Programme National Persée, vol. 47(3), pages 409-424.
    26. U. Michael Bergman & Shakill Hassan, 2008. "Currency Crises and Monetary Policy in an Economy with Credit Constraints: The No Interest Parity Case," EPRU Working Paper Series 08-01, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    27. Posta Pompeo Della, 2016. "Self-Fulfilling and Fundamentals Based Speculative Attacks: A Theoretical Interpretation of the Euro Area Crisis," Global Economy Journal, De Gruyter, vol. 16(3), pages 459-478, September.
    28. Jean-Pierre Allegret & Marie-Noëlle Calès, 2001. "Attaques spéculatives et crédibilité du régime de change : quel arbitrage pour le policy-mix ?," Post-Print hal-01660196, HAL.
    29. Thomas Sattler & Stefanie Walter, 2010. "Monetary Credibility Vs. Voter Approval: Political Institutions And Exchange‐Rate Stabilization During Crises," Economics and Politics, Wiley Blackwell, vol. 22(3), pages 392-418, November.
    30. Michael Berlemann & Kalin Hristov & Nikolay Nenovsky, 2002. "Lending of Last Resort, Moral Hazard and Twin Crises: Lessons from the Bulgarian Financial Crisis 1996/1997," William Davidson Institute Working Papers Series 464, William Davidson Institute at the University of Michigan.
    31. Ozkan, F. Gulcin, 2003. "Explaining ERM realignments: Insights from optimising models of currency crises," Journal of Macroeconomics, Elsevier, vol. 25(4), pages 491-507, December.
    32. Eichengreen, Barry & Tobin, James & Wyplosz, Charles, 1994. "Two Cases for Sand in the Wheels of International Finance," Center for International and Development Economics Research (CIDER) Working Papers 233396, University of California-Berkeley, Department of Economics.
    33. Maurice Obstfeld, 1994. "The Logic of Currency Crises," NBER Working Papers 4640, National Bureau of Economic Research, Inc.
    34. Flood, Robert P. & Marion, Nancy P., 2000. "Self-fulfilling risk predictions:: an application to speculative attacks," Journal of International Economics, Elsevier, vol. 50(1), pages 245-268, February.
    35. Mr. Piti Disyatat, 2001. "Currency Crises and Foreign Reserves: A Simple Model," IMF Working Papers 2001/018, International Monetary Fund.
    36. Axel A. Weber, 1998. "Sources of Currency Crises: An Empirical Analysis," Working Papers 25, Oesterreichische Nationalbank (Austrian Central Bank).
    37. Sachs, Jeffrey & Tornell, Aaron & Velasco, Andres, 1996. "The Mexican peso crisis: Sudden death or death foretold?," Journal of International Economics, Elsevier, vol. 41(3-4), pages 265-283, November.
    38. Jean-Pierre Allegret & Camille Cornand, 2006. "The Pros and Cons of Higher Transparency: The Case of Speculative Attacks," Post-Print halshs-00137469, HAL.
    39. Della Posta, Pompeo, 2016. "Currency and external debt crises: A unifying framework," Journal of Policy Modeling, Elsevier, vol. 38(4), pages 723-736.
    40. Leonidas E. de la Rosa, 1999. "Ataques Especulativos: Un Enfoque de Incertidumbre e Información," Borradores de Economia 130, Banco de la Republica de Colombia.
    41. Nikola A. Tarashev, 2003. "Currency Crises and the Informational Role of Interest Rates," BIS Working Papers 135, Bank for International Settlements.
    42. Allan Drazen, 2000. "Political Contagion in Currency Crises," NBER Chapters, in: Currency Crises, pages 47-67, National Bureau of Economic Research, Inc.
    43. Corrado, Luisa & Holly, Sean, 2000. "A currency crisis model with a misaligned central parity: a stochastic analysis," Economics Letters, Elsevier, vol. 67(1), pages 61-68, April.
    44. Wai-Mun Har & Ai-Lian Tan & Chong-Heng Lim & Chai-Thing Tan, 2017. "Does Interest Rate Still Matter in Determining Exchange Rate?," Capital Markets Review, Malaysian Finance Association, vol. 25(1), pages 19-25.
    45. Grier, Kevin & Lin, Shu, 2010. "Do high interest rates deter speculative attacks? - Evidence and some theory," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 938-950, September.
    46. Korkut Erturk, 2003. "On the Changing Nature of Currency Crises," Working Paper Series, Department of Economics, University of Utah 2003_02, University of Utah, Department of Economics.
    47. Eichengreen, Barry & Rose, Andrew K & Wyplosz, Charles, 1996. "Contagious Currency Crises," CEPR Discussion Papers 1453, C.E.P.R. Discussion Papers.
    48. Giancarlo Marini & Giovanni Piersanti, 2012. "Models of Speculative Attacks and Crashes in International Capital Markets," CEIS Research Paper 245, Tor Vergata University, CEIS, revised 24 Jul 2012.
    49. Nicolás Oviedo, 2022. "Deficit fiscal y tipo de cambio fijo: racionalizando una combinación insostenible," Young Researchers Working Papers 3, Universidad de San Andres, Departamento de Economia, revised Oct 2022.
    50. Ozkan, F. Gulcin & Sutherland, Alan, 1998. "A currency crisis model with an optimising policymaker," Journal of International Economics, Elsevier, vol. 44(2), pages 339-364, April.
    51. Flood, Robert P & Rose, Andrew, 2001. "Uncovered Interest Parity in Crisis: The Interest Rate Defence in the 1990s," CEPR Discussion Papers 2943, C.E.P.R. Discussion Papers.
    52. Cavallari, Lilia & Corsetti, Giancarlo, 2000. "Shadow rates and multiple equilibria in the theory of currency crises," Journal of International Economics, Elsevier, vol. 51(2), pages 275-286, August.
    53. Francesco Papadia & Gian Ruggiero, 1999. "Central Bank Independence and Budget Constraints for a Stable Euro," Open Economies Review, Springer, vol. 10(1), pages 63-90, February.
    54. Tullio Gregori, 2009. "Currency crisis duration and interest defence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 256-267.
    55. Delphine Lahet, 2001. "L'occurrence d'une crise financière dans un modèle de troisième génération," Revue Française d'Économie, Programme National Persée, vol. 16(2), pages 179-206.
    56. Robert P. Flood & Nancy P. Marion, 1996. "Speculative Attacks: Fundamentals and Self-Fulfilling Prophecies," NBER Working Papers 5789, National Bureau of Economic Research, Inc.
    57. Fielding, David & Mizen, Paul, 2001. "Seigniorage revenue, deficits and self-fulfilling currency crises," Journal of Development Economics, Elsevier, vol. 65(1), pages 81-93, June.
    58. F. Gulcin Ozkan, 2005. "Currency and Financial Crises in Turkey 2000 –2001: Bad Fundamentals or Bad Luck?," The World Economy, Wiley Blackwell, vol. 28(4), pages 541-572, April.
    59. Rajan, Ramkishen S. & Sugema, Iman, 2000. "Government bailouts and monetary disequilibrium: common fundamentals in the Mexican and East Asian currency crises," The North American Journal of Economics and Finance, Elsevier, vol. 11(2), pages 123-135, December.
    60. Grier, Kevin & Lin, Shu, 2009. "Speculative attacks and defenses as wars of attrition," European Journal of Political Economy, Elsevier, vol. 25(4), pages 540-546, December.
    61. Yi, Ming, 2017. "Speculator-triggered crisis and interventions," Journal of Macroeconomics, Elsevier, vol. 52(C), pages 135-146.
    62. Kraay, Aart, 2003. "Do high interest rates defend currencies during speculative attacks?," Journal of International Economics, Elsevier, vol. 59(2), pages 297-321, March.
    63. Kenneth S. Chan, 2001. "The Internationalisation of Hong Kong Dollar: An Analytical Framework," Working Papers 012001, Hong Kong Institute for Monetary Research.
    64. Rövekamp, Ingmar, 2019. "US Monetary Policy and the Stability of Currency Pegs," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203525, Verein für Socialpolitik / German Economic Association.
    65. Della Posta, Pompeo, 2018. "A model of currency crises with heterogeneous market beliefs," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 182-195.
    66. Eichengreen, Barry, 1995. "Sterling in Decline Again: The 1931 and 1992 Crises Compared," Center for International and Development Economics Research (CIDER) Working Papers 233404, University of California-Berkeley, Department of Economics.
    67. Olivier Jeanne and Paul Masson., 1997. "Was the French Franc Crisis a Sunspot Equilibrium?," Center for International and Development Economics Research (CIDER) Working Papers C97-095, University of California at Berkeley.
    68. Mr. Evan C Tanner, 2002. "Exchange Market Pressure, Currency Crises, and Monetary Policy: Additional Evidence From Emerging Markets," IMF Working Papers 2002/014, International Monetary Fund.
    69. Jeanne, Olivier, 1997. "Are currency crises self-fulfilling?: A test," Journal of International Economics, Elsevier, vol. 43(3-4), pages 263-286, November.
    70. Tillmann, Peter, 2004. "Disparate information and the probability of currency crises: empirical evidence," Economics Letters, Elsevier, vol. 84(1), pages 61-68, July.
    71. Andres Velasco, 1996. "When Are Fixed Exchange Rates Really Fixed?," NBER Working Papers 5842, National Bureau of Economic Research, Inc.
    72. Schnatz, Bernd, 1998. "Macroeconomic determinants of currency turbulences in emerging markets," Discussion Paper Series 1: Economic Studies 1998,03e, Deutsche Bundesbank.
    73. Peter Kehinde, Mogaji, 2017. "Empirical Assessment of Exchange Market Pressure within the West African Monetary Zone," MPRA Paper 98771, University Library of Munich, Germany.
    74. Brana, Sophie & Chenaf-Nicet, Dalila, 2001. "Indicateurs avancés de crise de change : un examen critique," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(4), pages 569-592, décembre.
    75. Jesper Rangvid, 1997. "Deviations from long-run equilibria and probabilities of devaluations: An empirical analysis of Danish realignments," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(3), pages 497-522, September.
    76. Velasco, Andres, 1997. "When are fixed exchange rates really fixed?," Journal of Development Economics, Elsevier, vol. 54(1), pages 5-25, October.
    77. Drazen, Allan, 2000. "Interest-rate and borrowing defense against speculative attack," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 53(1), pages 303-348, December.
    78. Auyo Musa, Abdulhamid & Rafindadi Sanusi, Aliyu, 2021. "Relationship Between Interest Rate And Exchange Rate In Nigeria: Does The Banking Sector Debt Level Matter?," Ilorin Journal of Economic Policy, Department of Economics, University of Ilorin, vol. 8(2), pages 89-103, June.
    79. Cheli, Bruno & Della Posta, Pompeo, 2007. "Self-fulfilling currency attacks with biased signals," Journal of Policy Modeling, Elsevier, vol. 29(3), pages 381-396.
    80. Roger Craine, 1999. "Exchange Rate Regime Credibility, the Agency Cost of Capital and Devaluation," International Finance 9902002, University Library of Munich, Germany.
    81. Roevekamp, Ingmar, 2021. "The impact of US monetary policy on managed exchange rates and currency peg regimes," Journal of International Money and Finance, Elsevier, vol. 110(C).
    82. Velasco, Andres, 1996. "Fixed exchange rates: Credibility, flexibility and multiplicity," European Economic Review, Elsevier, vol. 40(3-5), pages 1023-1035, April.

  4. Bensaid, B. & Gary-Bobo, R., 1993. "On the Commitment Value of Contracts Under Renegotiation Constraints," Papers 9302, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..

    Cited by:

    1. Stephanie Rosenkranz & Patrick W. Schmitz, 2007. "Can Coasean Bargaining Justify Pigouvian Taxation?," Economica, London School of Economics and Political Science, vol. 74(296), pages 573-585, November.
    2. Emanuele Gerratana & Levent Kockesen, 2012. "Renegotiation-Proof Third-Party Contracts under Asymmetric Information," Koç University-TUSIAD Economic Research Forum Working Papers 1208, Koc University-TUSIAD Economic Research Forum.
    3. Anders U. Poulsen & Michael W. M. Roos, 2009. "Do people make strategic commitments? Experimental evidence on strategic information avoidance," Working Paper series, University of East Anglia, Centre for Behavioural and Experimental Social Science (CBESS) 09-01, School of Economics, University of East Anglia, Norwich, UK..
    4. Gerratana Emanuele & Koçkesen Levent, 2012. "Strategic Effects of Renegotiation-Proof Contracts," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 12(1), pages 1-49, July.
    5. Aristotelis Boukouras, 2015. "Separation of Ownership and Control: Delegation as a Commitment Device," Discussion Papers in Economics 15/02, Division of Economics, School of Business, University of Leicester.
    6. Levent Koçkesen & Emanuele Gerratana, 2008. "Delegation with Incomplete and Renegotiable Contracts," Koç University-TUSIAD Economic Research Forum Working Papers 0803., Koc University-TUSIAD Economic Research Forum.
    7. Bensaid, Bernard & Gary-Bobo, Robert J, 1993. "Commitment Value of Contracts under Renegotiation Constraints," Econometrica, Econometric Society, vol. 61(6), pages 1423-1429, November.
    8. Emanuele Gerratana & Levent Koçkesen, 2013. "Commitment without Reputation: Renegotiation-Proof Contracts under Asymmetric Information," Koç University-TUSIAD Economic Research Forum Working Papers 1323, Koc University-TUSIAD Economic Research Forum.
    9. Levent Koçkesen, 2007. "Unobservable Contracts as Precommitments," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(3), pages 539-552, June.
    10. Patrick W. Schmitz, 2005. "Should Contractual Clauses that Forbid Renegotiation Always be Enforced?," The Journal of Law, Economics, and Organization, Oxford University Press, vol. 21(2), pages 315-329, October.
    11. Poulsen, Anders, 2007. "Learning to Make Strategic Moves: Experimental Evidence," MPRA Paper 10927, University Library of Munich, Germany.
    12. Polo, Michele & Tedeschi, Piero, 2000. "Delegation games and side-contracting," Research in Economics, Elsevier, vol. 54(1), pages 101-116, March.
    13. Snyder, Christopher M, 1996. "Negotiation and Renegotiation of Optimal Financial Contracts under the Threat of Predation," Journal of Industrial Economics, Wiley Blackwell, vol. 44(3), pages 325-343, September.
    14. Lam, Kit-Chun & Liu, Pak-Wai, 2000. "Verifiable wage offers and recontracting: effect on wage and consumption profiles," Labour Economics, Elsevier, vol. 7(4), pages 449-462, July.

  5. Bensaid, B. & Gary-Bobo, R., 1991. "An Exact Formula for the Lion's Share : a Model of Pre-Play Negotiation," LIDAM Discussion Papers CORE 1991059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Wilkie, Simon & Jackson, Matthew O., 2002. "Endogenous Games and Mechanisms: Side Payments Among Players," Working Papers 1150, California Institute of Technology, Division of the Humanities and Social Sciences.
    2. Chiara CONTI, 2013. "Asymmetric information in a duopoly with spillovers: new findings on the effects of RJVs," Departmental Working Papers 2013-04, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.

Articles

  1. Bensaid, Bernard & Jeanne, Olivier, 1997. "The instability of fixed exchange rate systems when raising the nominal interest rate is costly," European Economic Review, Elsevier, vol. 41(8), pages 1461-1478, August.
    See citations under working paper version above.
  2. Bernard Bensaïd & Olivier Jeanne, 1996. "Fragilité des systèmes de change fixe et contrôle des capitaux," Économie et Prévision, Programme National Persée, vol. 123(2), pages 163-174.

    Cited by:

    1. Raphaëlle Bellando & S. Pfister & Jean-Paul Pollin, 2000. "Evolution et déterminants de la crédibilité de l'Union Monétaire Européenne durant la phase de transition : une étude comparative France, Italie et Grande Bretagne," Post-Print halshs-00287977, HAL.
    2. Mr. Paul R Masson, 1999. "Multiple Equilibria, Contagion, and the Emerging Market Crises," IMF Working Papers 1999/164, International Monetary Fund.

  3. Bensaid, Bernard & Gary-Bobo, Robert J., 1996. "An Exact Formula for the Lion's Share: A Model of Preplay Negotiation," Games and Economic Behavior, Elsevier, vol. 14(1), pages 44-89, May.
    See citations under working paper version above.
  4. Bensaid, Bernard & Lesne, Jean-Philippe, 1996. "Dynamic monopoly pricing with network externalities," International Journal of Industrial Organization, Elsevier, vol. 14(6), pages 837-855, October.

    Cited by:

    1. Tavasoli, Ali & Fazli, Mehrdad & Ardjmand, Ehsan & Young, William A. & Shakeri, Heman, 2023. "Competitive pricing under local network effects," European Journal of Operational Research, Elsevier, vol. 311(2), pages 545-566.
    2. Yifan Dou & Yu Jeffrey Hu & D. J. Wu, 2017. "Selling or Leasing? Pricing Information Goods with Depreciation of Consumer Valuation," Information Systems Research, INFORMS, vol. 28(3), pages 585-602, September.
    3. Raphaël Soubeyran, 2019. "Technology adoption and pro-social preferences," Working Papers halshs-02291905, HAL.
    4. Amir, Rabah & Lazzati, Natalia, 2011. "Network effects, market structure and industry performance," Journal of Economic Theory, Elsevier, vol. 146(6), pages 2389-2419.
    5. Hashimoto, Kaito & Matsubayashi, Nobuo, 2014. "A note on dynamic monopoly pricing under consumption externalities," Economics Letters, Elsevier, vol. 124(1), pages 1-8.
    6. Andre Veiga, 2014. "Dynamic Platform Design," Working Papers 14-15, NET Institute.
    7. Didier Laussel & Ngo van Long & Joana Resende, 2015. "Network effects, aftermarkets and the Coase conjecture: A dynamic Markovian approach," Post-Print hal-01457339, HAL.
    8. Hattori, Keisuke & Zennyo, Yusuke, 2018. "Heterogeneous Consumer Expectations and Monopoly Pricing for Durables with Network Externalities," MPRA Paper 89893, University Library of Munich, Germany, revised 08 Nov 2018.
    9. Duan, Yongrui & Feng, Yixuan, 2021. "Optimal pricing in social networks considering reference price effect," Journal of Retailing and Consumer Services, Elsevier, vol. 61(C).
    10. Mirta B. Gordon & Jean-Pierre Nadal & Denis Phan & Viktoriya Semeshenko, 2012. "Entanglement between Demand and Supply in Markets with Bandwagon Goods," Papers 1209.1321, arXiv.org, revised Dec 2012.
    11. Kessing, Sebastian G. & Nuscheler, Robert, 2006. "Monopoly pricing with negative network effects: The case of vaccines," European Economic Review, Elsevier, vol. 50(4), pages 1061-1069, May.
    12. Jullien, Bruno, 2008. "Price Skewness and Competition in Multi-Sided Markets," IDEI Working Papers 504, Institut d'Économie Industrielle (IDEI), Toulouse.
    13. Raphael Soubeyran, 2019. "Incentives, Pro-social Preferences and Discrimination," Working Papers 2019.04, FAERE - French Association of Environmental and Resource Economists.
    14. Nan Yang & Renyu Zhang, 2022. "Dynamic pricing and inventory management in the presence of online reviews," Production and Operations Management, Production and Operations Management Society, vol. 31(8), pages 3180-3197, August.
    15. Mason, Robin, 2000. "Network externalities and the Coase conjecture," European Economic Review, Elsevier, vol. 44(10), pages 1981-1992, December.
    16. Ralph-C Bayer & Mickey Chan, 2004. "Network Externalities, Demand Inertia and Dynamic Pricing in an Experimental Oligopoly Market," School of Economics and Public Policy Working Papers 2004-08, University of Adelaide, School of Economics and Public Policy.
    17. Hahn, Jong-Hee, 2004. "The welfare effect of quality degradation in the presence of network externalities," Information Economics and Policy, Elsevier, vol. 16(4), pages 535-552, December.
    18. Gerard Llobet & Michael Manove, 2006. "Network Size and Network Capture," Boston University - Department of Economics - Working Papers Series WP2006-007, Boston University - Department of Economics.
    19. Bruno Jullien, 2011. "Competition in Multi-sided Markets: Divide and Conquer," American Economic Journal: Microeconomics, American Economic Association, vol. 3(4), pages 186-220, November.
    20. Marco Sahm, 2020. "Advance-Purchase Financing of Projects with Few Buyers," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 57(4), pages 909-933, December.
    21. Wei Qi & Xinggang Luo & Xuwang Liu & Yang Yu & Zhongliang Zhang, 2019. "Product Line Pricing under Marginal Moment Model with Network Effect," Complexity, Hindawi, vol. 2019, pages 1-13, February.
    22. Pekka S��skilahti, 2015. "Monopoly Pricing of Social Goods," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 22(3), pages 429-448, November.
    23. Jullien, Bruno, 2001. "Competing with Network Externalities and Price Discrimination," CEPR Discussion Papers 2883, C.E.P.R. Discussion Papers.
    24. Cerquera Dussán, Daniel, 2006. "Dynamic R&D incentives with network externalities," ZEW Discussion Papers 06-094, ZEW - Leibniz Centre for European Economic Research.
    25. Navarro, Noemí, 2012. "Price and quality decisions under network effects," Journal of Mathematical Economics, Elsevier, vol. 48(5), pages 263-270.
    26. GABSZEWICZ, Jean J. & GARCIA, Filomena, 2005. "A note on expanding networks and monopoly pricing," LIDAM Discussion Papers CORE 2005095, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    27. Winston T.H. Koh, 2005. "Household Demand, Network Externality Effects and Intertemporal Price Discrimination," Microeconomics Working Papers 22455, East Asian Bureau of Economic Research.
    28. Sun, Shuxiao & Zheng, Xiaona & Sun, Luping, 2020. "Multi-period pricing in the presence of competition and social influence," International Journal of Production Economics, Elsevier, vol. 227(C).
    29. Russel Cooper & Gary Madden, 2008. "Internet network externalities," International Journal of Management and Network Economics, Inderscience Enterprises Ltd, vol. 1(1), pages 21-43.
    30. Oz Shy, 2010. "A short survey of network economics," Working Papers 10-3, Federal Reserve Bank of Boston.
    31. Paulo Maçãs Nunes, 2015. "Pricing Strategy In The Context Of Durable Goods Monopoly With Discrete Demand," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 60(204), pages 61-74, January –.
    32. Huseyin Gurkan & Francis de Véricourt, 2020. "Contracting, pricing, and data collection under the AI flywheel effect," ESMT Research Working Papers ESMT-20-01_R3, ESMT European School of Management and Technology, revised 17 Aug 2021.
    33. Athanasopoulos, Thanos, 2013. "Efficient Upgrading in Network Goods : Is Commitment Always Good?," The Warwick Economics Research Paper Series (TWERPS) 1006, University of Warwick, Department of Economics.
    34. Hattori, Keisuke & Zennyo, Yusuke, 2018. "Pricing and Diffusion of Durables with Network Externalities," MPRA Paper 86203, University Library of Munich, Germany.
    35. Xiaofang Wang & Yaoyao Yang & Jun Zhuang, 2023. "Pricing Decisions with Social Interactions: A Game-Theoretic Model," Decision Analysis, INFORMS, vol. 20(1), pages 40-54, March.
    36. Dementiev, V. & Evsukov, S. & Ustyuzhanina, E., 2020. "The importance of a strategic approach to pricing in markets for network goods," Journal of the New Economic Association, New Economic Association, vol. 46(2), pages 57-71.
    37. Ngo Long, 2015. "Dynamic Games Between Firms and Infinitely Lived Consumers: A Review of the Literature," Dynamic Games and Applications, Springer, vol. 5(4), pages 467-492, December.
    38. Yu Wang & Minqiang Li & Haiyang Feng & Nan Feng, 2019. "Optimal sequential releasing strategy for software products in the presence of word-of-mouth and requirements uncertainty," Information Technology and Management, Springer, vol. 20(3), pages 153-174, September.
    39. Huseyin Gurkan & Francis de Véricourt, 2022. "Contracting, Pricing, and Data Collection Under the AI Flywheel Effect," Management Science, INFORMS, vol. 68(12), pages 8791-8808, December.
    40. Shin, Euncheol, 2017. "Monopoly pricing and diffusion of social network goods," Games and Economic Behavior, Elsevier, vol. 102(C), pages 162-178.
    41. Athanasopoulos, Thanos, 2015. "Efficient Upgrading in Durable Network Goods: Is Commitment Always Good?," Economic Research Papers 270543, University of Warwick - Department of Economics.
    42. Cerquera Dussán, Daniel, 2007. "Durable Goods, Innovation and Network Externalities," ZEW Discussion Papers 07-086, ZEW - Leibniz Centre for European Economic Research.
    43. Economides, N., 1999. "Durable Goods Monopoly with Network Externalities with Application to the PC Operating Systems Market," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-17, New York University, Leonard N. Stern School of Business-.

  5. Bensaid, Bernard & Encaoua, David & Winckler, Antoine, 1994. "Competition, cooperation and mergers: Economic and policy issues," European Economic Review, Elsevier, vol. 38(3-4), pages 637-650, April.

    Cited by:

    1. Grazia Ietto-Gillies & Meloria Meschi, 1999. "The Characteristics, Performance and Strategic Behaviour of Merged Versus Non-Merged Establishments in Britain," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 15(1), pages 1-24, August.
    2. David Encaoua, 1996. "Ouverture à la concurrence des activités en réseau. Le cas du transport aérien européen," Revue Économique, Programme National Persée, vol. 47(6), pages 1269-1296.
    3. Anne Perrot, 2002. "Les frontières entre régulation sectorielle et politique de la concurrence," Revue Française d'Économie, Programme National Persée, vol. 16(4), pages 81-112.
    4. Paul Belleflamme, 2000. "R&D Cooperation or Competition in the Presence of Cannibalization," Working Papers 413, Queen Mary University of London, School of Economics and Finance.
    5. G. Ietto-Gillies, 1998. "A Comparison of Merged versus Non-merged Business Establishments in Britain: What Can we Learn from the Workplace Industrial Relations Survey?," CIBS Research Papers in International Business 10-98, London South Bank University CIBS.
    6. Andrea Cosnita & Jean-Philippe Tropeano, 2005. "Negotiating remedies: revealing the merger efficiency gains," Cahiers de la Maison des Sciences Economiques v05047, Université Panthéon-Sorbonne (Paris 1), revised Apr 2006.
    7. Been-Lon Chen & Angus Chu, 2010. "On R&D spillovers, multiple equilibria and indeterminacy," Journal of Economics, Springer, vol. 100(3), pages 247-263, July.
    8. Barros, Pedro Pita, 2003. "Looking behind the curtain--effects from modernization of European Union competition policy," European Economic Review, Elsevier, vol. 47(4), pages 613-624, August.
    9. David Encaoua & Pierre Mohnen & Emmanuel Duguet & Bruno Crépon, 1993. "Diffusion du savoir et incitation à l'innovation : le rôle des accords de coopération en recherche et développement," Économie et Statistique, Programme National Persée, vol. 266(1), pages 47-63.
    10. Anbarci, Nejat & Lemke, Robert & Roy, Santanu, 2002. "Inter-firm complementarities in R&D: a re-examination of the relative performance of joint ventures," International Journal of Industrial Organization, Elsevier, vol. 20(2), pages 191-213, February.
    11. Aikaterini KOKKINOU, 2010. "Economic growth, innovation and collaborative research and development activities," Management & Marketing, Economic Publishing House, vol. 5(1), Spring.

  6. Bernard Bensaïd & André de Palma, 1993. "Concurrence imparfaite et transmission de la politique monétaire sur les taux débiteurs," Revue d'Économie Financière, Programme National Persée, vol. 27(4), pages 299-304.

    Cited by:

    1. Franck Martin, 1995. "Concurrence bancaire, jeux séquentiels et information complète," Revue Économique, Programme National Persée, vol. 46(2), pages 301-324.

  7. Bensaid, Bernard & Gary-Bobo, Robert J, 1993. "Commitment Value of Contracts under Renegotiation Constraints," Econometrica, Econometric Society, vol. 61(6), pages 1423-1429, November.
    See citations under working paper version above.
  8. Bernard Bensaid & Jean‐Philippe Lesne & Henri Pagès & José Scheinkman, 1992. "Derivative Asset Pricing With Transaction Costs1," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 63-86, April.

    Cited by:

    1. Bettzuge, Marc Oliver & Hens, Thorsten & Laitenberger, Marta & Siwik, Thomas, 2000. "On Choquet prices in a GEI-model with intermediation costs," Research in Economics, Elsevier, vol. 54(2), pages 133-152, June.
    2. Julien Baptiste & Laurence Carassus & Emmanuel L'epinette, 2018. "Pricing without martingale measure," Papers 1807.04612, arXiv.org, revised May 2019.
    3. Barbara Trivellato, 2009. "Replication and shortfall risk in a binomial model with transaction costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(1), pages 1-26, March.
    4. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, August.
    5. Jouini, Elyes & Kallal, Hedi, 2001. "Efficient Trading Strategies in the Presence of Market Frictions," The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 343-369.
    6. Aloisio Araujo & Alain Chateauneuf & José Heleno Faro, 2018. "Financial market structures revealed by pricing rules: Efficient complete markets are prevalent," Post-Print hal-03252242, HAL.
    7. Peter Bank & Dietmar Baum, 2004. "Hedging and Portfolio Optimization in Financial Markets with a Large Trader," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 1-18, January.
    8. De Waegenaere, A.M.B. & Kast, R. & Lapied, A., 1996. "Non-Linear Asset Valuation on Markets with Frictions," Other publications TiSEM 0df3c1bd-04a4-450b-bf18-e, Tilburg University, School of Economics and Management.
    9. Huang, Kevin X. D., 2002. "On infinite-horizon minimum-cost hedging under cone constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 27(2), pages 283-301, December.
    10. Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.
    11. Alet Roux, 2015. "Pricing and hedging game options in currency models with proportional transaction costs," Papers 1504.07920, arXiv.org, revised Aug 2015.
    12. Hara, Chiaki, 2012. "Asset prices, trading volumes, and investor welfare in markets with transaction costs," CIS Discussion paper series 556, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
    13. Pelsser, Antoon & Vorst, Ton, 1996. "Transaction costs and efficiency of portfolio strategies," European Journal of Operational Research, Elsevier, vol. 91(2), pages 250-263, June.
    14. C. Atkinson & C. A. Alexandropoulos, 2006. "Pricing a European Basket Option in the Presence of Proportional Transaction Costs," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(3), pages 191-214.
    15. Monoyios, Michael, 2004. "Option pricing with transaction costs using a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 889-913, February.
    16. Barr, Kanlaya Jintanakul, 2009. "The implied volatility bias and option smile: is there a simple explanation?," ISU General Staff Papers 200901010800002026, Iowa State University, Department of Economics.
    17. Katsiaryna Kaval & Ilya Molchanov, 2005. "Link-save trading and pricing of contingent claims," Finance 0511017, University Library of Munich, Germany.
    18. Alet Roux & Tomasz Zastawniak, 2016. "Game options with gradual exercise and cancellation under proportional transaction costs," Papers 1612.02312, arXiv.org.
    19. George M. Constantinides & Stylianos Perrakis, 2002. "Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs," NBER Working Papers 8867, National Bureau of Economic Research, Inc.
    20. Branger, Nicole & Mahayni, Antje, 2006. "Tractable hedging: An implementation of robust hedging strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 1937-1962, November.
    21. Gianluca Cassese, 2014. "Option pricing in an imperfect world," Working Papers 277, University of Milano-Bicocca, Department of Economics, revised Jun 2014.
    22. Elyès Jouini, 2003. "Market imperfections, equilibrium and arbitrage," Finance 0312005, University Library of Munich, Germany.
    23. Alet Roux, 2016. "Pricing And Hedging Game Options In Currency Models With Proportional Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-25, November.
    24. Aloisio Araujo & Alain Chateauneuf & José Heleno Faro, 2012. "Pricing rules and Arrow-Debreu ambiguous valuation," Post-Print hal-00685413, HAL.
    25. Erindi Allaj, 2013. "Implicit transaction costs and the fundamental theorems of asset pricing," Papers 1310.1882, arXiv.org, revised Jul 2017.
    26. W. Li & S. Wang, 2009. "Penalty Approach to the HJB Equation Arising in European Stock Option Pricing with Proportional Transaction Costs," Journal of Optimization Theory and Applications, Springer, vol. 143(2), pages 279-293, November.
    27. Chowdhury, Reaz & Mahdy, M.R.C. & Alam, Tanisha Nourin & Al Quaderi, Golam Dastegir & Arifur Rahman, M., 2020. "Predicting the stock price of frontier markets using machine learning and modified Black–Scholes Option pricing model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
    28. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach," Operations Research, INFORMS, vol. 49(3), pages 372-397, June.
    29. Silvia Florio & Wolfgang Runggaldier, 1999. "On hedging in finite security markets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(3), pages 159-176.
    30. Kaval, K. & Molchanov, I., 2006. "Link-save trading," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 710-728, September.
    31. Siu, Tak Kuen, 2023. "European option pricing with market frictions, regime switches and model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 233-250.
    32. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "When Is Time Continuous?," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 3, pages 71-102, World Scientific Publishing Co. Pte. Ltd..
    33. Elyès Jouini & Hedi Kallal, 1999. "Viability and equilibrium in securities markets with frictions," Post-Print halshs-00176397, HAL.
    34. Sergei Fedotov & Sergei Mikhailov, 2001. "Option Pricing For Incomplete Markets Via Stochastic Optimization: Transaction Costs, Adaptive Control And Forecast," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 179-195.
    35. Zachary Feinstein & Birgit Rudloff, 2018. "Scalar multivariate risk measures with a single eligible asset," Papers 1807.10694, arXiv.org, revised Feb 2021.
    36. Clewlow, Les & Hodges, Stewart, 1997. "Optimal delta-hedging under transactions costs," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1353-1376, June.
    37. Victor Olkhov, 2020. "Classical Option Pricing and Some Steps Further," Papers 2004.13708, arXiv.org, revised Feb 2021.
    38. Jörn Sass & Manfred Schäl, 2014. "Numeraire portfolios and utility-based price systems under proportional transaction costs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 195-234, October.
    39. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
    40. Elyès Jouini, 1997. "Price Functionals with Bid-Ask Spreads : An Axiomatic Approach," Working Papers 97-05, Center for Research in Economics and Statistics.
    41. Stefano Baccarin, 2019. "Static use of options in dynamic portfolio optimization under transaction costs and solvency constraints," Working papers 063, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
    42. Erindi Allaj, 2017. "Implicit Transaction Costs And The Fundamental Theorems Of Asset Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-39, June.
    43. Antje Mahayni, 2003. "Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(05), pages 521-552.
    44. Bruno Bouchard & Elyès Jouini, 2010. "Transaction Costs in Financial Models," Post-Print halshs-00703138, HAL.
    45. Jouini, Elyes & Kallal, Hedi & Napp, Clotilde, 2001. "Arbitrage and viability in securities markets with fixed trading costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 197-221, April.
    46. Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2022. "Next generation models for portfolio risk management: An approach using financial big data," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(3), pages 765-787, September.
    47. Perrakis, Stylianos & Lefoll, Jean, 2000. "Option pricing and replication with transaction costs and dividends," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1527-1561, October.
    48. Garivaltis, Alex, 2019. "Two resolutions of the margin loan pricing puzzle," Research in Economics, Elsevier, vol. 73(2), pages 199-207.
    49. Elettra Agliardi & Rainer Andergassen, 2007. "(S,S)-Adjustment Strategies And Dynamic Hedging," Working Paper series 09_07, Rimini Centre for Economic Analysis.
    50. Reiß, Ariane, 1997. "Option replication with large transactions costs," Tübinger Diskussionsbeiträge 106, University of Tübingen, School of Business and Economics.
    51. Cristina Mihaela Onica & Nicoleta Ghilic & Maria-Gabriela Chirita, 2015. "News And Perspectives On Accounting And Econometric Modeling Cash Flow Indicators In The Companies Listed On The Capital Market," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 435-443.
    52. Tahir Choulli & Emmanuel Lepinette, 2024. "Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon," Papers 2401.05713, arXiv.org.
    53. Alain Chateauneuf & Bernard Cornet, 2022. "Submodular financial markets with frictions," Post-Print hal-03722920, HAL.
    54. Hara, Chiaki, 2000. "Transaction costs and a redundant security: divergence of individual and social relevance1," Journal of Mathematical Economics, Elsevier, vol. 33(4), pages 497-530, May.
    55. Joao Amaro de Matos & Paula Antao, 2000. "Market illiquidity and the Bid-Ask spread of derivatives," Nova SBE Working Paper Series wp386, Universidade Nova de Lisboa, Nova School of Business and Economics.
    56. Elyès Jouini & Clotilde Napp, 1998. "Contiuous Time Equilibrium Pricing of Nonredundant Assets," Working Papers 98-30, Center for Research in Economics and Statistics.
    57. Sergei Fedotov & Sergei Mikhailov, 1998. "Option Pricing Model for Incomplete Market," Papers cond-mat/9807397, arXiv.org, revised Aug 1998.
    58. Erik Aurell & Paolo Muratore-Ginanneschi, 2006. "Optimal Hedging Of Derivatives With Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(07), pages 1051-1069.
    59. Laurence Carassus & Emmanuel L'epinette, 2021. "Pricing without no-arbitrage condition in discrete time," Papers 2104.02688, arXiv.org.
    60. Bertram Düring & Michel Fournié & Ansgar Jüngel, 2003. "High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(07), pages 767-789.
    61. Napp, Clotilde, 2001. "Pricing issues with investment flows Applications to market models with frictions," Journal of Mathematical Economics, Elsevier, vol. 35(3), pages 383-408, June.
    62. Avinash & T. Mallikarjunappa, 2020. "Informational Role of Open Interest and Transaction Volume of Options: A Meta-Analytic Review," FIIB Business Review, , vol. 9(4), pages 275-285, December.
    63. Tokarz, Krzysztof & Zastawniak, Tomasz, 2006. "American contingent claims under small proportional transaction costs," Journal of Mathematical Economics, Elsevier, vol. 43(1), pages 65-85, December.
    64. Maria Arduca & Cosimo Munari, 2020. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Papers 2012.08351, arXiv.org, revised Apr 2022.
    65. Albanese, Claudio & Tompaidis, Stathis, 2008. "Small transaction cost asymptotics and dynamic hedging," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1404-1414, March.
    66. Maria Arduca & Cosimo Munari, 2023. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Finance and Stochastics, Springer, vol. 27(3), pages 831-862, July.
    67. Lorenzo Bastianello & Alain Chateauneuf & Bernard Cornet, 2022. "Put-Call Parities, absence of arbitrage opportunities and non-linear pricing rules," Papers 2203.16292, arXiv.org.
    68. M. Rezaei & A. R. Yazdanian & A. Ashrafi & S. M. Mahmoudi, 2022. "Numerically Pricing Nonlinear Time-Fractional Black–Scholes Equation with Time-Dependent Parameters Under Transaction Costs," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 243-280, June.
    69. Pieter Klaassen, 1998. "Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis," Management Science, INFORMS, vol. 44(1), pages 31-48, January.
    70. Oleg Szehr, 2021. "Hedging of Financial Derivative Contracts via Monte Carlo Tree Search," Papers 2102.06274, arXiv.org, revised Apr 2021.
    71. Laurence Carassus, 2021. "No free lunch for markets with multiple num\'eraires," Papers 2107.12885, arXiv.org, revised Dec 2022.
    72. Joao Amaro De Matos & Paula Antao, 2003. "Market illiquidity and bounds on European option prices," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 475-498.
    73. Gianluca Cassese, 2014. "Asset Pricing in an Imperfect World," Papers 1410.6408, arXiv.org.
    74. Koehl, Pierre-F. & Pham, Huyen, 2000. "Sublinear price functionals under portfolio constraints," Journal of Mathematical Economics, Elsevier, vol. 33(3), pages 339-351, April.
    75. Andrea Gam & Paolo Pellizzari, 2002. "Utility based pricing of contingent claims in incomplete markets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(4), pages 241-260.
    76. A. Gamba & P. Pellizzari, 1999. "Utility based pricing of contingent claims," Finance 9902003, University Library of Munich, Germany, revised 14 Oct 2002.
    77. Alet Roux & Tomasz Zastawniak, 2006. "A counter-example to an option pricing formula under transaction costs," Finance and Stochastics, Springer, vol. 10(4), pages 575-578, December.
    78. Perrakis, Stylianos & Lefoll, Jean, 2004. "The American put under transactions costs," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 915-935, February.
    79. Kallio, Markku & Ziemba, William T., 2007. "Using Tucker's theorem of the alternative to simplify, review and expand discrete arbitrage theory," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2281-2302, August.
    80. Tsetsekos, George & Varangis, Panos, 1998. "The structure of derivatives exchanges : lessons from developed and emerging markets," Policy Research Working Paper Series 1887, The World Bank.
    81. Lai, Tze Leung & Lim, Tiong Wee, 2009. "Option hedging theory under transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 33(12), pages 1945-1961, December.
    82. M. Dempster & I. Evstigneev & M. Taksar, 2006. "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, vol. 2(4), pages 327-355, October.
    83. Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April.
    84. Carassus, Laurence, 2023. "No free lunch for markets with multiple numéraires," Journal of Mathematical Economics, Elsevier, vol. 104(C).
    85. Esmaeil Babaei, 2024. "Asset pricing and hedging in financial markets with fixed and proportional transaction costs," Annals of Finance, Springer, vol. 20(2), pages 259-275, June.
    86. Nan Zhang & Alet Roux & Tomasz Zastawniak, 2011. "Parallel Binomial American Option Pricing with (and without) Transaction Costs," Papers 1110.2477, arXiv.org.
    87. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2001. "Asset Prices and Trading Volume Under Fixed Transactions Costs," NBER Working Papers 8311, National Bureau of Economic Research, Inc.
    88. Wen Li & Song Wang, 2014. "A numerical method for pricing European options with proportional transaction costs," Journal of Global Optimization, Springer, vol. 60(1), pages 59-78, September.
    89. Damgaard, Anders, 2003. "Utility based option evaluation with proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 27(4), pages 667-700, February.
    90. Roger, Patrick, 2000. "Properties of bid and ask reservation prices in the rank-dependent expected utility model," Journal of Mathematical Economics, Elsevier, vol. 34(3), pages 269-285, November.
    91. Laurence Carassus & Miklos Rasonyi, 2019. "Risk-neutral pricing for APT," Papers 1904.11252, arXiv.org, revised Oct 2020.
    92. Alet Roux & Zhikang Xu, 2019. "Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs," Papers 1909.06260, arXiv.org, revised May 2021.
    93. Jarrow, Robert A., 1994. "Derivative Security Markets, Market Manipulation, and Option Pricing Theory," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(2), pages 241-261, June.
    94. Astic, Fabian & Touzi, Nizar, 2007. "No arbitrage conditions and liquidity," Journal of Mathematical Economics, Elsevier, vol. 43(6), pages 692-708, August.
    95. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 204-220, January.
    96. Laurence Carassus & Miklós Rásonyi, 2020. "Risk-Neutral Pricing for Arbitrage Pricing Theory," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 248-263, July.
    97. Ostermark, Ralf, 1998. "Call option pricing and replication under economic friction," European Journal of Operational Research, Elsevier, vol. 108(1), pages 184-195, July.
    98. Melnikov, Alexander & Tong, Shuo, 2014. "Quantile hedging on equity-linked life insurance contracts with transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 77-88.
    99. Alex Garivaltis, 2018. "Super-Replication of the Best Pairs Trade in Hindsight," Papers 1810.02444, arXiv.org, revised Oct 2022.
    100. Tzuu-Shuh Chiang & Shang-Yuan Shiu & Shuenn-Jyi Sheu, 2007. "Price systems for markets with transaction costs and control problems for some finance problems," Papers math/0702828, arXiv.org.
    101. Elettra Agliardi & Rainer Andergassen, 2011. "(S,s)-adjustment Strategies and Hedging under Markovian Dynamics," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 36(2), pages 112-131, December.
    102. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
    103. Andrea Cinfrignini & Davide Petturiti & Barbara Vantaggi, 2023. "Envelopes of equivalent martingale measures and a generalized no-arbitrage principle in a finite setting," Annals of Operations Research, Springer, vol. 321(1), pages 103-137, February.
    104. Andreas Lohne & Birgit Rudloff, 2011. "An algorithm for calculating the set of superhedging portfolios in markets with transaction costs," Papers 1107.5720, arXiv.org, revised Dec 2013.
    105. Elyès Jouini & Pierre-François Koehl & Nizar Touzi, 1997. "Incomplete markets, transaction costs and liquidity effects," Post-Print halshs-00167139, HAL.
    106. João Amaro De Matos & João Sobral Do Rosário, 2002. "Market Power And Feedback Effects From Hedging Derivatives," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(08), pages 845-875.
    107. Jacques, Sébastien & Lai, Van Son & Soumaré, Issouf, 2011. "Synthetizing a debt guarantee: Super-replication versus utility approach," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 27-40, January.
    108. Romain Blanchard & Laurence Carassus, 2021. "Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 366-398, January.
    109. Romain Blanchard & Laurence Carassus, 2017. "Convergence of utility indifference prices to the superreplication price in a multiple-priors framework," Papers 1709.09465, arXiv.org, revised Oct 2020.
    110. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    111. Zachary Feinstein & Birgit Rudloff, 2013. "A comparison of techniques for dynamic multivariate risk measures," Papers 1305.2151, arXiv.org, revised Jan 2015.
    112. Nicole Branger & Antje Mahayni, 2011. "Tractable hedging with additional hedge instruments," Review of Derivatives Research, Springer, vol. 14(1), pages 85-114, April.
    113. Bank, Peter & Baum, Dietmar, 2002. "Hedging and portfolio optimization in illiquid financial markets," SFB 373 Discussion Papers 2002,53, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    114. Chiaki Hara, 2013. "Asset Prices, Trading Volumes, and Investor Welfare in Markets with Transaction Costs　," KIER Working Papers 862, Kyoto University, Institute of Economic Research.
    115. Baccara, Mariagiovanna & Battauz, Anna & Ortu, Fulvio, 2006. "Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization," Journal of Economic Dynamics and Control, Elsevier, vol. 30(1), pages 55-79, January.

  9. Bensaid, Bernard & Gary-Bobo, Robert J., 1991. "Negotiation of profit-sharing contracts in industry," European Economic Review, Elsevier, vol. 35(5), pages 1069-1085, July.

    Cited by:

    1. Guigou, Jean-Daniel, 2002. "Contrats de dette participative en environnement stratégique," L'Actualité Economique, Société Canadienne de Science Economique, vol. 78(1), pages 5-17, Mars.
    2. MAULEON, Ana & VANNETELBOSCH, Vincent J., 1999. "Profit sharing and strike activity in Cournot oligopoly," LIDAM Reprints CORE 1388, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Hamilton, Stephen F & Stiegert, Kyle, 2000. "Vertical Coordination, Antitrust Law, and International Trade," Journal of Law and Economics, University of Chicago Press, vol. 43(1), pages 143-156, April.
    4. Chau, Minh & Contensou, François, 2004. "Profit-Sharing as Tax Saving and Incentive Device," ESSEC Working Papers DR 04012, ESSEC Research Center, ESSEC Business School.
    5. Bensaid, Bernard & Gary-Bobo, Robert J, 1993. "Commitment Value of Contracts under Renegotiation Constraints," Econometrica, Econometric Society, vol. 61(6), pages 1423-1429, November.
    6. Contensou, François, 2004. "Legal Profit-Sharing: Shifting the Tax Burden in a Dual Economy," ESSEC Working Papers DR 04011, ESSEC Research Center, ESSEC Business School.
    7. Emmanuel Petrakis & Panagiotis Skartados, 2018. "Strategic Profit–Sharing in a Unionized Differentiated Goods Duopoly," Working Papers 1801, University of Crete, Department of Economics.
    8. S. Lael Brainard & David Martimort, 1996. "Strategic Trade Policy Design with Asymmetric Information and Public Contracts," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 63(1), pages 81-105.
    9. Dhillon, Amrita & Petrakis, Emmanuel, 2001. "Profit-sharing, bertrand competition and monopoly unions : a note," The Warwick Economics Research Paper Series (TWERPS) 612, University of Warwick, Department of Economics.
    10. Göddeke, Anna & Haucap, Justus & Herr, Annika & Wey, Christian, 2011. "Stabilität und Wandel von Arbeitsmarktinstitutionen aus wettbewerbsökonomischer Sicht," DICE Ordnungspolitische Perspektiven 10, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
    11. Roland Kirstein & Annette Kirstein, 2007. "Inefficient Intra-Firm Incentives Can Stabilize Cartels in Cournot Oligopolies," FEMM Working Papers 07004, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    12. Juan Carlos Bárcena-Ruiz, 2016. "Employee share ownership in a unionised duopoly," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 15(3), pages 173-195, December.
    13. Bughin, J., 1999. "Oligopoly profit-sharing contracts and the firm's systematic risk1," European Economic Review, Elsevier, vol. 43(3), pages 549-558, March.
    14. Kornelius Kraft, 2006. "Wage versus efficient bargaining in oligopoly," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 27(7), pages 595-604.
    15. Vannetelbosch, Vincent J., 1997. "Profit-Sharing: Does It Reduce Bargaining Inefficiencies ?," LIDAM Discussion Papers IRES 1997009, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).

  10. Bernard Bensaïd & Serge Federbusch & Robert Gary-Bobo, 1990. "Sur quelques propriétés stratégiques de l'intéressement des salariés dans l'industrie," Revue Économique, Programme National Persée, vol. 41(4), pages 621-650.

    Cited by:

    1. MAULEON, Ana & VANNETELBOSCH, Vincent J., 1999. "Profit sharing and strike activity in Cournot oligopoly," LIDAM Reprints CORE 1388, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Irac, D., 2006. "Revisiting the proximity-concentration trade-off: Distance and Horizontal Foreign Direct Investment in OECD countries," Working papers 153, Banque de France.
    3. Mésonnier, J-S., 2006. "The Reliability of Macroeconomic Forecasts based on Real Interest Rate Gap Estimates in Real Time: an Assessment for the Euro Area," Working papers 157, Banque de France.
    4. Vannetelbosch, Vincent J., 1997. "Profit-Sharing: Does It Reduce Bargaining Inefficiencies ?," LIDAM Discussion Papers IRES 1997009, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).

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