Pricing of index options in incomplete markets
Caio Almeida, Gustavo Freire
| Year of publication: |
2022
|
|---|---|
| Authors: | Almeida, Caio ; Freire, Gustavo |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 144.2022, 1, p. 174-205
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| Subject: | Incomplete markets | Market segmentation | Option pricing | Return predictability | Risk-neutral measure | Unvollkommener Markt | Incomplete market | Optionspreistheorie | Option pricing theory | Marktsegmentierung | Index-Futures | Index futures | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2021.05.041 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013407088