{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2023,8,28]],"date-time":"2023-08-28T05:26:21Z","timestamp":1693200381415},"reference-count":35,"publisher":"Springer Science and Business Media LLC","issue":"2","license":[{"start":{"date-parts":[[2016,9,27]],"date-time":"2016-09-27T00:00:00Z","timestamp":1474934400000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2018,3]]},"DOI":"10.1007\/s10479-016-2256-7","type":"journal-article","created":{"date-parts":[[2016,9,27]],"date-time":"2016-09-27T11:52:36Z","timestamp":1474977156000},"page":"389-411","update-policy":"http:\/\/dx.doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Pricing derivatives in the presence of shadow costs of incomplete information and short sales"],"prefix":"10.1007","volume":"262","author":[{"given":"Mondher","family":"bellalah","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2016,9,27]]},"reference":[{"issue":"81","key":"2256_CR1","first-page":"303","volume":"2","author":"G Barone-Adesi","year":"1987","unstructured":"Barone-Adesi, G., & Whaley, R. E. (1987). Efficient analytic approximation of American option values. Journal of Finance, 2(81), 303\u2013320.","journal-title":"Journal of Finance"},{"issue":"6","key":"2256_CR2","doi-asserted-by":"crossref","first-page":"2013","DOI":"10.1111\/j.1540-6261.2011.01700.x","volume":"66","author":"R Battalio","year":"2011","unstructured":"Battalio, R., & Schultz, P. (2011). Regulatory uncertainty and market liquidity: The 2008 short sale ban\u2019s impact on equity option markets. Journal of Finance, 66(6), 2013\u20132053.","journal-title":"Journal of Finance"},{"issue":"1","key":"2256_CR3","doi-asserted-by":"crossref","first-page":"343","DOI":"10.1111\/j.1540-6261.2012.01802.x","volume":"68","author":"A Beber","year":"2013","unstructured":"Beber, A., & Pagano, M. (2013). Short-selling bans around the world: Evidence from the 2007\u20132009 crisis. Journal of Finance, 68(1), 343\u2013381.","journal-title":"Journal of Finance"},{"key":"2256_CR4","doi-asserted-by":"crossref","first-page":"645","DOI":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S","volume":"19","author":"M Bellalah","year":"1999","unstructured":"Bellalah, M. (1999). The valuation of futures and commodity options with information costs. Journal of Futures Markets, 19, 645\u2013664.","journal-title":"Journal of Futures Markets"},{"key":"2256_CR5","doi-asserted-by":"crossref","first-page":"75","DOI":"10.1016\/S1059-0560(00)00072-1","volume":"10","author":"M Bellalah","year":"2000","unstructured":"Bellalah, M. (2000). Valuation of American CAC 40 index and wild card options. International Review of Economics and Finance, 10, 75\u201394.","journal-title":"International Review of Economics and Finance"},{"issue":"3","key":"2256_CR6","first-page":"1895","volume":"13","author":"M Bellalah","year":"2001","unstructured":"Bellalah, M. (2001). Market imperfections, information costs and the valuation of derivatives: Some general results. International Journal of Finance, 13(3), 1895\u20131927.","journal-title":"International Journal of Finance"},{"key":"2256_CR7","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1007\/s10479-007-0307-9","volume":"165","author":"M Bellalah","year":"2009","unstructured":"Bellalah, M., & Wu, Z. (2009). A simple model of corporate international investment under incomplete information and taxes. Annals of Operations Research, 165, 123\u2013143.","journal-title":"Annals of Operations Research"},{"issue":"2005","key":"2256_CR8","doi-asserted-by":"crossref","first-page":"3061","DOI":"10.1016\/j.jbankfin.2004.11.004","volume":"29","author":"A Beltratti","year":"2005","unstructured":"Beltratti, A. (2005). Capital market equilibrium with externalities, production and heterogeneous agents. Journal of Banking & Finance, 29(2005), 3061\u20133073.","journal-title":"Journal of Banking & Finance"},{"issue":"3","key":"2256_CR9","doi-asserted-by":"crossref","first-page":"167","DOI":"10.1016\/0304-405X(76)90024-6","volume":"79","author":"F Black","year":"1976","unstructured":"Black, F. (1976). The pricing of commodity contracts. Journal of Financial Economics, 79(3), 167\u2013179.","journal-title":"Journal of Financial Economics"},{"key":"2256_CR10","doi-asserted-by":"crossref","first-page":"4","DOI":"10.3905\/jpm.1989.409198","volume":"15","author":"F Black","year":"1989","unstructured":"Black, F. (1989). How we came up with the option formula. Journal of Portfolio Management, 15, 4\u20138.","journal-title":"Journal of Portfolio Management"},{"key":"2256_CR11","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"F Black","year":"1973","unstructured":"Black, F., & Scholes, M. (1973). The pricing of options and corporate Liabilities. Journal of Political Economy, 81, 637\u2013659.","journal-title":"Journal of Political Economy"},{"key":"2256_CR12","doi-asserted-by":"crossref","first-page":"287","DOI":"10.1093\/rfs\/hhs097","volume":"26","author":"E Boehmer","year":"2013","unstructured":"Boehmer, E., Jones, C. M., & Zhang, X. (2013). Shackling short sellers: The 2008 shorting ban. Review of Financial Studies, 26, 287\u2013322.","journal-title":"Review of Financial Studies"},{"key":"2256_CR13","unstructured":"Boehmer, E., Jones, C.M., & Zhang, X. (forthcoming). Shackling short sellers: The 2008 shorting ban. Review of Financial Studies."},{"issue":"2","key":"2256_CR14","doi-asserted-by":"crossref","first-page":"287","DOI":"10.1093\/rfs\/hhs097","volume":"26","author":"E Boehmer","year":"2013","unstructured":"Boehmer, E., & Wu, J. (2013). Short selling and the price discovery process. Review of Financial Studies, 26(2), 287\u2013322.","journal-title":"Review of Financial Studies"},{"issue":"3","key":"2256_CR15","doi-asserted-by":"crossref","first-page":"1029","DOI":"10.1111\/j.1540-6261.2007.01230.x","volume":"62","author":"A Bris","year":"2007","unstructured":"Bris, A., Goetzmann, W. N., & Zhu, N. (2007). Efficiency and the bear: Short sales and markets around the world. Journal of Finance, 62(3), 1029\u20131079.","journal-title":"Journal of Finance"},{"issue":"1","key":"2256_CR16","doi-asserted-by":"crossref","first-page":"360","DOI":"10.1257\/aer.103.1.360","volume":"103","author":"A Cabrales","year":"2013","unstructured":"Cabrales, A., Gossner, O., & Serrano, R. (2013). Entropy and the value of information for investors. American Economic Review, 103(1), 360\u2013377.","journal-title":"American Economic Review"},{"issue":"1","key":"2256_CR17","doi-asserted-by":"crossref","first-page":"131","DOI":"10.1093\/rfs\/12.1.131","volume":"12","author":"HH Cao","year":"1999","unstructured":"Cao, H. H. (1999). The effect of derivative assets on information acquisition and price behavior in a rational expectations equilibrium. Review of Financial Studies, 12(1), 131\u2013163.","journal-title":"Review of Financial Studies"},{"key":"2256_CR18","unstructured":"Cao, H. H., Zhang, H. H., & Zhou, X. (2007). Short-sale constraint, informational efficiency, and asset price bias. Working paper. University of Texas-Dallas."},{"key":"2256_CR19","doi-asserted-by":"crossref","first-page":"385","DOI":"10.2307\/1911242","volume":"53","author":"JC Cox","year":"1985","unstructured":"Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, 53, 385\u2013407.","journal-title":"Econometrica"},{"key":"2256_CR20","unstructured":"Garman, M. (1976). A general theory of asset valuation under diffusion state processes, W.P. N 50. Berkeley: University of California."},{"key":"2256_CR21","doi-asserted-by":"crossref","first-page":"231","DOI":"10.1016\/S0261-5606(83)80001-1","volume":"2","author":"M Garman","year":"1983","unstructured":"Garman, M., & Kohlhagen, S. (1983). Foreign currency option values. Journal of International Money and Finance, 2, 231\u2013237.","journal-title":"Journal of International Money and Finance"},{"key":"2256_CR22","first-page":"587","volume":"20","author":"J Lintner","year":"1965","unstructured":"Lintner, J. (1965). Security prices, risk and maximal gains from diversification. Journal of Finance, 20, 587\u2013516.","journal-title":"Journal of Finance"},{"issue":"3","key":"2256_CR23","doi-asserted-by":"crossref","first-page":"30","DOI":"10.1257\/aer.102.3.30","volume":"102","author":"B Mackowiak","year":"2012","unstructured":"Mackowiak, B., & Wiederholt, M. (2012). Information processing and limited liability. American Economic Review, 102(3), 30\u201334.","journal-title":"American Economic Review"},{"issue":"1","key":"2256_CR24","first-page":"77","volume":"7","author":"HM Markowitz","year":"1952","unstructured":"Markowitz, H. M. (1952). Portfolio selection. Journal of Finance, 7(1), 77\u201391.","journal-title":"Journal of Finance"},{"issue":"3","key":"2256_CR25","doi-asserted-by":"crossref","first-page":"927","DOI":"10.1093\/rfs\/15.3.927","volume":"15","author":"M Massa","year":"2002","unstructured":"Massa, M. (2002). Financial innovation and information: The role of derivatives when a market for information exists. Review of Financial Studies, 15(3), 927\u2013957.","journal-title":"Review of Financial Studies"},{"key":"2256_CR26","doi-asserted-by":"crossref","first-page":"483","DOI":"10.1111\/j.1540-6261.1987.tb04565.x","volume":"42","author":"RC Merton","year":"1987","unstructured":"Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. Journal of Finance, 42, 483\u2013510.","journal-title":"Journal of Finance"},{"key":"2256_CR27","first-page":"323","volume":"2","author":"RC Merton","year":"1998","unstructured":"Merton, R. C. (1998). Applications of option pricing theory: Twenty-five years later. American Economic Review, 2, 323\u2013348.","journal-title":"American Economic Review"},{"key":"2256_CR28","doi-asserted-by":"crossref","first-page":"99","DOI":"10.1257\/jep.2.4.99","volume":"2","author":"M Miller","year":"1988","unstructured":"Miller, M. (1988). The Modigliani-Miller propositions after thirty years. Journal of Economic Perspectives, 2, 99\u2013120.","journal-title":"Journal of Economic Perspectives"},{"key":"2256_CR29","first-page":"30308","volume-title":"Short-sale constraints, information acquisition, and asset prices","author":"M Nezafat","year":"2013","unstructured":"Nezafat, M., & Wang, Q. (2013). Short-sale constraints, information acquisition, and asset prices (p. 30308). Atlanta, GA: Scheller College of Business, Georgia Institute of Technology."},{"key":"2256_CR30","first-page":"425","volume":"19","author":"WF Sharpe","year":"1964","unstructured":"Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19, 425\u2013442.","journal-title":"Journal of Finance"},{"issue":"3","key":"2256_CR31","doi-asserted-by":"crossref","first-page":"1187","DOI":"10.1111\/j.1540-6261.2009.01462.x","volume":"64","author":"S Nieuwerburgh Van","year":"2009","unstructured":"Van Nieuwerburgh, S., & Veldkamp, L. (2009). Information immobility and the home bias puzzle. Journal of Finance, 64(3), 1187\u20131215.","journal-title":"Journal of Finance"},{"issue":"2","key":"2256_CR32","doi-asserted-by":"crossref","first-page":"779","DOI":"10.1111\/j.1467-937X.2009.00583.x","volume":"77","author":"S Nieuwerburgh Van","year":"2010","unstructured":"Van Nieuwerburgh, S., & Veldkamp, L. (2010). Information acquisition and under-diversification. Review of Economic Studies, 77(2), 779\u2013805.","journal-title":"Review of Economic Studies"},{"key":"2256_CR33","volume-title":"Investment dynamics with information costs","author":"F Verona","year":"2013","unstructured":"Verona, F. (2013). Investment dynamics with information costs. Discussion Papers: Bank of Finland Research. 18."},{"key":"2256_CR34","unstructured":"Winkelmann, S. (2013). Markov decision processes with information costs: Theory and application, Dissertation: Fachbereich mathematik und informatik. Freie Universit\u00e4t Berlin April 2013."},{"key":"2256_CR35","doi-asserted-by":"crossref","first-page":"119","DOI":"10.1007\/BF00243974","volume":"7","author":"C Wu","year":"1996","unstructured":"Wu, C., Li, Q., & Wei, K. C. J. (1996). Incomplete information capital market equilibrium with heteregeonous expectations and short sale restrictions. Review of Quantitative Finance and Accounting, 7, 119\u2013136.","journal-title":"Review of Quantitative Finance and Accounting"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10479-016-2256-7\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-016-2256-7.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-016-2256-7.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2018,2,5]],"date-time":"2018-02-05T07:06:02Z","timestamp":1517814362000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10479-016-2256-7"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2016,9,27]]},"references-count":35,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2018,3]]}},"alternative-id":["2256"],"URL":"https:\/\/doi.org\/10.1007\/s10479-016-2256-7","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"value":"0254-5330","type":"print"},{"value":"1572-9338","type":"electronic"}],"subject":[],"published":{"date-parts":[[2016,9,27]]}}}