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Pricing and Hedging Derivative Securities in Incomplete Markets: An e-Arbitrage Approach

Dimitris Bertsimas, Leonid Kogan, Andrew W. Lo
Format
Book
Published
Cambridge, MA : National Bureau of Economic Research, c1997.
Language
English
Series
NBER Working Paper Series
Working Paper Series (National Bureau of Economic Research)
Description
60 p. : ill. ; 22 cm.
Notes
  • "November 1997."
  • Includes bibliographical references (p. 57-60)
Series Statement
NBER working paper series ; no. 6250
Working paper series (National Bureau of Economic Research) working paper no. 6250
Technical Details
  • Access in Virgo Classic
  • Staff View

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    a| Bertsimas, Dimitris.
    245
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    0
    a| Pricing and hedging derivative securities in incomplete markets : b| an e-arbitrage approach / c| Dimitris Bertsimas, Leonid Kogan, Andrew W. Lo.
    260
      
      
    a| Cambridge, MA : b| National Bureau of Economic Research, c| c1997.
    300
      
      
    a| 60 p. : b| ill. ; c| 22 cm.
    490
    1
      
    a| NBER working paper series ; v| no. 6250.
    500
      
      
    a| "November 1997."
    504
      
      
    a| Includes bibliographical references (p. 57-60)
    536
      
      
    a| Partially supported by the MIT Laboratory for Financial Engineering and a Presidential Young Investigator Award with matching funds from Draper Laboratory. b| DDM-9158118.
    596
      
      
    a| 17
    650
      
    0
    a| Derivative securities z| Europe x| Econometric models.
    650
      
    0
    a| Arbitrage z| Europe x| Econometric models.
    700
    1
      
    a| Kogan, Leonid, d| 1974-
    700
    1
      
    a| Lo, Andrew W. q| (Andrew Wen-Chuan)
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    0
    a| Working paper series (National Bureau of Economic Research) v| working paper no. 6250.
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    a| National Bureau of Economic Research.
    941
      
      
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    948
      
      
    a| 12/09/97 b| 12/19/97 c| 12/19/97
    999
      
      
    a| HB1 .W654 no.6250 w| LC i| 35007002475907 l| STACKS m| LAW t| BOOK
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