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Securities Market Equilibrium Without Bankruptcy: Contingent ClaimValuation and the Martingale Property

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  • Kerry Back

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  • Kerry Back, 1986. "Securities Market Equilibrium Without Bankruptcy: Contingent ClaimValuation and the Martingale Property," Discussion Papers 683, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    • Handle: RePEc:nwu:cmsems:683
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    File URL: http://www.kellogg.northwestern.edu/research/math/papers/683.pdf
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    References listed on IDEAS

    as
    1. Truman F. Bewley, 1980. "The Martingale Property of Asset Prices," Discussion Papers 431, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    Cited by:

    1. Kerry Back & Stanley R. Pliska, 1986. "Discrete Versus Continuous Trading in Securities Markets with Net Worth Constraints," Discussion Papers 700, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    2. Kerry Back & Stanley R. Pliska, 1986. "The Shadow Price of Information in Continuous Time Decision Problems," Discussion Papers 690, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    3. 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.

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