We propose an equilibrium model of exhaustible resources in a comprehensive setting, including exploration, stochastic demand, and stochastic reserve, by extending the models in Pindyck (1980) and Anderson, Kellogg, and Salant (2018). The production adjustments can be quite general, e.g., sudden...

We consider superhedging of contingent claims under ratio constraint. It has been widely recognized that the minimum cost of superhedging a contingent claim with certain constraints is equal to the price of a dominating claim without constraints. In terms of the backward stochastic differential...

Assuming the absence of market frictions, deterministic interest rates, and certainty in dividend payouts from the stocks in the index basket, an arbitrageur can lock in the profit of a positive (negative) arbitrage basis in a stock index futures by adopting a short (long) futures strategy. In...