Pricing of Non-redundant Derivatives in a Complete Market

Elyès Jouini (), Koehl Pierre-François and Abdelhamid Bizid
Additional contact information
Koehl Pierre-François: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Abdelhamid Bizid: CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative assets are non-redundant in the market, in the sense that the market is complete, only with their existence. In such a framawork, we derive an equilibrium restriction on the admissible prices of derivatives assets. The equilibrium condition imposes a well-ordering principle equivalent martingale measures. This restriction is preference free and applies whenever the utility functions belong to the general class of Von-Neumann Morgenstern functions. We provide numerical examples that show the applicability of restriction for the computation of option prices

Keywords: pricing (search for similar items in EconPapers)
Date: 1998-12
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00167151v1
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published in Review of Derivatives Research, 1998, 2 (4), pp.287-314. ⟨10.1007/BF01574150⟩

Downloads: (external link)
https://shs.hal.science/halshs-00167151v1/document (application/pdf)

Related works:
Working Paper: Pricing of Non-redundant Derivatives in a Complete Market (1998)
Working Paper: Pricing of Non-redundant Derivatives in a Complete Market (1997)
Working Paper: Pricing of Non-redundant Derivatives in a Complete Market
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-00167151

DOI: 10.1007/BF01574150

Access Statistics for this paper

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