Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets
Robert M Anderson, Roberto C Raimondo
SPRINGER-VERLAG BERLIN | Published : 2006
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Awarded by U.S. National Science Foundation
Awarded by Australian Research Council
This paper is dedicated to the memory of Birgit Grodal, whose strength and character we greatly admired. We are very grateful to Theo Diasakos, Darrell Duffie, Steve Evans, Botond Koszegi, Roger Purves, Jacob Sagi, Chris Shannon, Bill Zame and an anony- mous refereee for very helpful discussions and comments. The work of both authors was supported by U.S. National Science Foundation Grant SES-9710424, Andersons work was also supported by U.S. National Science Foundation Grant SES-0214164, while Rai- mondos work was also supported by Australian Research Council grant DP0558187. An- derson is also grateful for the gracious hospitality of the Economic Theory Center at the University of Melbourne. Some of these results appeared previously in Anderson and Rai-mondo (2005).