In this paper, we study the principal-agent problem. It is well known that in continuous-time, it is possible to prove the existence of an equilibrium <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$ (u^{*},S^{*})$$</EquationSource> </InlineEquation> in a considerably general setting, and however little is known about the strategies themselves. Our goal is to present a...</equationsource></inlineequation>

We develop a method of assigning unique prices to derivative securities, including options, in the continuous-time finance model developed in Raimondo (2001). In contrast with the martingale method of valuing options, which cannot distinguish among infinitely many possible option pricing...

We prove the existence of equilibrium in a continuous-time finance model; our results include the case of dynamically incomplete markets as well as dynamically complete markets. In addition, we derive explicitly the stochastic process describing securities prices. The price process depends on...