Equilibrium Pricing in Incomplete Markets

Elyès Jouini () and Abdelhamid Bizid

Finance from University Library of Munich, Germany

Abstract: Given exogenously the price process of some assets, we constrain the price process of other assets, which are characterized 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: equilibrium pricing; incomplete markets; state-price deflator; arbitrage pricing; stochastic volatility (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 25 pages
Date: 2003-12-08
New Economics Papers: this item is included in nep-cfn and nep-fin
Note: Type of Document - pdf; prepared on Win98; pages: 25
References: Add references at CitEc
Citations:

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0312/0312004.pdf (application/pdf)

Related works:
Journal Article: Equilibrium Pricing in Incomplete Markets (2005)
Working Paper: Equilibrium Pricing in Incomplete Markets (2005)
Working Paper: Equilibrium Pricing in Incomplete Markets (2005)
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:wpa:wuwpfi:0312004

Access Statistics for this paper

More papers in Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).