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
Type
Article accepté pour publication ou publiéExternal document link
http://halshs.archives-ouvertes.fr/halshs-00176484/en/Date
2005Journal name
Journal of Financial and Quantitative AnalysisVolume
40Number
4Publisher
Cambridge University Press
Pages
833-848
Publication identifier
Metadata
Show full item recordAbstract (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 / Keywords
incomplete markets; pricingRelated items
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