Equilibrium Pricing in Incomplete Markets

Abdelhamid Bizid and Elyès Jouini ()
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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

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Abstract: Given exogenously the price process of some asets, 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.

Keywords: incomplete markets; pricing (search for similar items in EconPapers)
Date: 2005-12-01
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00176484v1
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Citations: View citations in EconPapers (4)

Published in Journal of Financial and Quantitative Analysis, 2005, 40 (4), pp.833-848

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Related works:
Journal Article: Equilibrium Pricing in Incomplete Markets (2005)
Working Paper: Equilibrium Pricing in Incomplete Markets (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00176484

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