Bizid, Abdelhamid; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2001
We consider a general discrete-time dynamic nancial market with three assets: a riskless bond, a security and a derivative. The market is incomplete (apriori) and at equilibrium. We assume also that the agents of the economy have short-sales constraints on the stock and that the payo at the...