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Incomplete-Market Equilibria Solved Recursively on an Event Tree
Dumas, Bernard; Lyasoff, Andrew - National Bureau of Economic Research (NBER) - 2008
We develop a method that allows one to compute incomplete-market equilibria routinely for Markovian equilibria (when they exist). The main difficulty to be overcome arises from the set of state variables. There are, of course, exogenous state variables driving the economy but, in an incomplete...
Persistent link: https://www.econbiz.de/10005580794
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Incomplete-Market Equilibria Solved Recursively on an Event Tree
DUMAS, BERNARD; LYASOFF, ANDREW - In: Journal of Finance 67 (2012) 5, pp. 1897-1941
Persistent link: https://www.econbiz.de/10010626269
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Incomplete-market equilibria solved recursively on an event tree
Dumas, Bernard; Lyasoff, Andrew - 2009
Persistent link: https://www.econbiz.de/10003814589
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Another look at the integral of exponential Brownian motion and the pricing of Asian options
Lyasoff, Andrew - In: Finance and stochastics 20 (2016) 4, pp. 1061-1096
Persistent link: https://www.econbiz.de/10011570364
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Incomplete-Market Equilibria Solved Recursively on an Event Tree
Dumas, Bernard J; Lyasoff, Andrew - C.E.P.R. Discussion Papers - 2009
We develop a method that allows one to compute incomplete-market equilibria routinely for Markovian equilibria (when they exist). The main difficulty to be overcome arises from the set of state variables. There are, of course, exogenous state variables driving the economy but, in an incomplete...
Persistent link: https://www.econbiz.de/10005124234
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The Dynamic Properties of Financial‐Market Equilibrium with Trading Fees
BUSS, ADRIAN; DUMAS, BERNARD - In: The Journal of Finance 74 (2019) 2, pp. 795-844
Persistent link: https://www.econbiz.de/10012094251
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How long do unilateral target zones last?
Dumas, Bernard; Svensson, Lars E. O. - In: Journal of International Economics 36 (1994) 3-4, pp. 467-481
Persistent link: https://www.econbiz.de/10005527849
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Monetary contracting between central banks and the design of sustainable exchange-rate zones
Delgado, Francisco; Dumas, Bernard - In: Journal of International Economics 34 (1993) 3-4, pp. 201-224
Persistent link: https://www.econbiz.de/10005528034
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The theorems of international trade under generalized uncertainty
Dumas, Bernard - In: Journal of International Economics 10 (1980) 4, pp. 481-498
Persistent link: https://www.econbiz.de/10005540194
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A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables
Dumas, Bernard - In: The Internationalization of Equity Markets
Persistent link: https://www.econbiz.de/10005072744