Pricing Issues with Investment Flows

Clotilde Napp

Post-Print from HAL

Abstract: In this paper, we study some foundational issues in the theory of asset pricing. We consider a model where any investment opportunity is described in terms of cash flows. We do not assume that there is a numéraire, the time horizon is not supposed to be finite, the investment opportunities are not specifically related to the buying and selling of securities on a financial market. In this quite general framework, we consider different possible definitions of admissible prices for a contingent flow, mainly related to arbitrage and equilibrium considerations, and for each possible definition, we characterize the set of admissible prices.Since most market imperfections, such as short sale constraints, convex cone constraints, proportional transaction costs, no borrowing or different borrowing and lending rates, etc., can fit in the preceding model for a specific set of investment opportunities, our approach with flows provides a unified framework for the study of pricing issues in market models with frictions (including imperfections on the numéraire). We generalize existing results and we obtain them all in a unified way.

Keywords: Contingent claims pricing; Market imperfections; Superreplication cost; Arbitrage; Viability (search for similar items in EconPapers)
Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Published in Journal of Mathematical Economics, 2001, 35, pp.383-408

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00151401

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().