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agent arbitrage opportunities asset prices assume Black-Scholes Brownian motion calculations Chap coeﬃcients complete market conditional expectation constraints contingent claim continuous deﬁned Deﬁnition denotes diﬀerent diﬀerential differential equation discounted prices distribution dynamics Economic equal equivalent euro exists ﬁnal Finance ﬁnancial markets ﬁnite ﬁrst ﬁxed follows formula Gaussian hedging Hence HJB equation inﬁnite initial value interest rate Ito's Ito's lemma Karatzas Karoui lemma market is complete martingale measure Mathematical Mathematical Finance maturity measure Q notation obtain optimal consumption option pair payoﬀ portfolio probability measure problem Proof Proposition Radner equilibrium random variable risk risk-neutral measure risk-neutral probability riskless asset satisfies Shreve spot rate stochastic calculus stochastic integral strictly positive suppose Theorem theory unique utility functions valuation vector wealth yield curve zero coupon bond
Page 302 - A Theorem on the Existence of Competitive Equilibria in a Market with a Finite Number of Agents and Whose Commodity Space is Lg In Khan, MA and Yannelis, NC, eds., 1991, pp. 74-101. . A Very Weak Theorem on the Existence of Equilibria in Atomless Economies with Infinitely Many Commodities.
Page 306 - Panas and T. Zariphopoulou, 1993, "European Option Pricing with Transaction Costs", SIAM Journal of Control and Optimization, 31:470-493 B.
Page 304 - Viswanathan. 1991. Path dependent options: The case of lookback options.
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