The Comparative Statics of Equilibrium Derivative Prices

Masamitsu Ohnishi () and Yusuke Osaki
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Masamitsu Ohnishi: Graduate School of Economics, Osaka University; Daiwa Securities Chair, Graduate School of Economics, Kyoto University
Yusuke Osaki: Graduate School of Economics, Osaka University

No 04-19, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

Abstract: We examine the conditions for preferences and risks that guarantee monotonicity of equilibrium derivative prices. In a Lucas economy with a derivative, we derive the equilibrium derivative price under expectation with respect to risk-neutral probability, and analyze comparative statics on the equilibrium derivative price based on the risk-neutral probability.

Keywords: Equilibrium Derivative Price; First-order Stochastic Dominance; Noise Risk; Risk-Neutral Probability. (search for similar items in EconPapers)
JEL-codes: C65 D51 D81 G12 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2004-11
New Economics Papers: this item is included in nep-fin
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