Ana Lacerda

New University of Lisbon - Faculdade de Economia

Campus de Campolide

Lisboa, 1099-032

Portugal

SCHOLARLY PAPERS

3

DOWNLOADS

281

CITATIONS

0

Scholarly Papers (3)

1.

Dry Markets and Statistical Arbitrage Bounds for European Derivatives

FEUNL Working Paper No. 479
Number of pages: 57 Posted: 19 Feb 2006
Joao Amaro de Matos and Ana Lacerda
Nova School of Business and Economics and New University of Lisbon - Faculdade de Economia
Downloads 186 (161,214)

Abstract:

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2.

Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets

FEUNL Working Paper No. 480
Number of pages: 61 Posted: 19 Feb 2006
Joao Amaro de Matos and Ana Lacerda
Nova School of Business and Economics and New University of Lisbon - Faculdade de Economia
Downloads 60 (354,451)

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3.

Dry Markets and Superreplication Bounds of American Derivatives

FEUNL Working Paper No. 461
Number of pages: 62 Posted: 16 Feb 2006
Joao Amaro de Matos and Ana Lacerda
Nova School of Business and Economics and New University of Lisbon - Faculdade de Economia
Downloads 35 (442,213)

Abstract:

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American derivatives, pricing, incomplete markets, dry markets, superreplication, randomized stopping times, strong duality