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dc.contributor.authorNapp, Clotilde
HAL ID: 741006
ORCID: 0000-0002-7008-5949
dc.contributor.authorJouini, Elyès
HAL ID: 6654
dc.date.accessioned2011-02-04T08:14:36Z
dc.date.available2011-02-04T08:14:36Z
dc.date.issued2001
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5650
dc.language.isoenen
dc.subjectoptimality
dc.subjectequilibrium
dc.subjectincomplete markets
dc.subjectderivatives pricing
dc.subjectArbitrage
dc.subjectnonredudant assets
dc.subject.ddc332en
dc.subject.classificationjelG13en
dc.subject.classificationjelG12en
dc.subject.classificationjelG10en
dc.subject.classificationjelC62en
dc.titleArbitrage pricing and equilibrium pricing : compatibility conditions
dc.typeChapitre d'ouvrage
dc.description.abstractenThe problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price rocesses. In the more realistic context of partial information, the equilibrium analysis permits to construct a unique valuation operator which only depends on some particular price processes as well as on the dividends process. In this paper we present these two approaches and we explore their links and the conditions under which they are compatible ; In particular, we derive from the equilibrium conditions some links between the price processes paramaters and those of the dividend processes paramaters.
dc.identifier.citationpages131-158
dc.relation.ispartoftitleQuantitative analysis in financial markets : collected papers of the New York University Mathematical Finance Seminar. Volume III
dc.relation.ispartofeditorAvellaneda, Marco
dc.relation.ispartofpublnameWorld Scientific
dc.relation.ispartofdate2001
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn981-02-4693-5
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2017-09-14T12:42:41Z


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