Equilibrium Pricing in Incomplete Markets
Bizid, Abdelhamid; Jouini, Elyès (2005), Equilibrium Pricing in Incomplete Markets, Journal of Financial and Quantitative Analysis, 40, 4, p. 833-848. http://dx.doi.org/10.1017/S002210900000199X
TypeArticle accepté pour publication ou publié
External document linkhttp://halshs.archives-ouvertes.fr/halshs-00176484/en/
Journal nameJournal of Financial and Quantitative Analysis
Cambridge University Press
MetadataShow full item record
Abstract (EN)Given exogenously the price process of some assets, we constrain the price process of other assets, which are characterised by their final pay-offs. We deal with an incomplete market framework in a discrete time model and assume the existence of the equilibrium. In this setup, we derive restrictions on the state-price deflators and these restrictions do not depend on a particular choice of utility function. A stochastic volatility model is numerically investigated as an example. Our approach leads to an interval of admissible prices much better than the arbitrage pricing interval.
Subjects / Keywordsincomplete markets; pricing
Showing items related by title and author.