Derivative financial instruments are frequently used as a tool for influencing the risk ofentrepreneurial uncertain payoff. To this end, an approximation procedure is developed capable ofcalculating the optimal quantity of derivatives to be used. It is assumed that the entrepreneurial cashflow...

In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond.

This paper develops a principal-agent model of financial contracting in which optimal contracts resemble a combination of debt and equity. When defaulting on debt, the firm is punished by disruption of external funding. Such contracts however, invite rivals to compete more aggressively to...

This paper deals with the introduction of stock options in an (dy-namically) incomplete securities market.

We develop a new approach to pricing and hedging contingent claims in incomplete markets framework the no-arbitrage arguments that have been developed in complete markets leads us to defining the concept we are able to extend the no-arbitrage ideo to a world of incomplete markets in such a way...

This paper publishes results on the convergence for hedging strategies in the setting of incomplete financial markets.

This paper considers the option pricing when dynamic portfolios are discretely rebalanced.

This paper presents results on the convergence for hedging strategies in the setting of incomplete financial markets. We examine the convergence of the so-called locally risk-minimizing strategy.(...)