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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 publié
External document link
http://halshs.archives-ouvertes.fr/halshs-00176484/en/
Date
2005
Journal name
Journal of Financial and Quantitative Analysis
Volume
40
Number
4
Publisher
Cambridge University Press
Pages
833-848
Publication identifier
http://dx.doi.org/10.1017/S002210900000199X
Metadata
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Author(s)
Bizid, Abdelhamid
Jouini, Elyès
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 / Keywords
incomplete markets; pricing
JEL
G12 - Asset Pricing; Trading Volume; Bond Interest Rates
D52 - Incomplete Markets

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