General Equilibrium Pricing of CPI's Derivatives

SSRN Electronic Journal ◽

10.2139/ssrn.383141 ◽

2003 ◽

Author(s):

Abraham Lioui ◽

Patrice Poncet

Keyword(s):

General Equilibrium ◽

Equilibrium Pricing

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General equilibrium pricing with information asymmetry

Frontiers in Applied Mathematics and Statistics ◽

10.3389/fams.2015.00008 ◽

2015 ◽

Vol 1 ◽

Author(s):

Yuzhong Zhang ◽

Fangfei Dong

Keyword(s):

General Equilibrium ◽

Information Asymmetry ◽

Equilibrium Pricing

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General equilibrium pricing of CPI derivatives

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2004.04.005 ◽

2005 ◽

Vol 29 (5) ◽

pp. 1265-1294 ◽

Author(s):

Abraham Lioui ◽

Patrice Poncet

Keyword(s):

General Equilibrium ◽

Equilibrium Pricing

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A Computational Study on General Equilibrium Pricing of Derivative Securities

SSRN Electronic Journal ◽

10.2139/ssrn.1003788 ◽

2007 ◽

Author(s):

Jacco Thijssen

Keyword(s):

General Equilibrium ◽

Computational Study ◽

Derivative Securities ◽

Equilibrium Pricing

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General Equilibrium Pricing of Futures and Forward Contracts Written on the CPI

Dynamic Asset Allocation with Forwards and Futures ◽

10.1007/0-387-24106-x_11 ◽

2005 ◽

pp. 221-249

Keyword(s):

General Equilibrium ◽

Forward Contracts ◽

Equilibrium Pricing

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General equilibrium pricing with multiple dividend streams and regime switching

Quantitative Finance ◽

10.1080/14697688.2014.974872 ◽

2014 ◽

Vol 15 (9) ◽

pp. 1543-1557

Author(s):

Jia Shen ◽

Robert J. Elliott

Keyword(s):

General Equilibrium ◽

Regime Switching ◽

Equilibrium Pricing

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General equilibrium pricing of nonredundant forward contracts

Journal of Futures Markets ◽

10.1002/fut.10087 ◽

2003 ◽

Vol 23 (9) ◽

pp. 817-840 ◽

Author(s):

Abraham Lioui ◽

Patrice Poncet

Keyword(s):

General Equilibrium ◽

Forward Contracts ◽

Equilibrium Pricing

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A general equilibrium pricing model with speculation, quantity risk, price risk and foreign exchange risk

North American Review of Economics and Finance ◽

10.1016/1042-752x(91)90013-p ◽

1991 ◽

Vol 2 (1) ◽

pp. 49-68

Author(s):

Arvind Mahajan

Keyword(s):

General Equilibrium ◽

Foreign Exchange ◽

Pricing Model ◽

Foreign Exchange Risk ◽

Equilibrium Pricing ◽

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General equilibrium pricing of options with habit formation and event risks

Journal of Financial Economics ◽

10.1016/j.jfineco.2010.09.001 ◽

2011 ◽

Vol 99 (2) ◽

pp. 400-426 ◽

Author(s):

Du Du

Keyword(s):

General Equilibrium ◽

Habit Formation ◽

Equilibrium Pricing

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A computational study on general equilibrium pricing of derivative securities

Annals of Finance ◽

10.1007/s10436-007-0088-9 ◽

2007 ◽

Vol 4 (4) ◽

pp. 505-523 ◽

Author(s):

Jacco J. J. Thijssen

Keyword(s):

General Equilibrium ◽

Computational Study ◽

Derivative Securities ◽

Equilibrium Pricing

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General Equilibrium Pricing of Currency and Currency Options with Variable Disasters and Recursive Utility

SSRN Electronic Journal ◽

10.2139/ssrn.1570502 ◽

2010 ◽

Author(s):

Du Du

Keyword(s):

General Equilibrium ◽

Recursive Utility ◽

Currency Options ◽

Equilibrium Pricing

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