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The Comparative Statics of Equilibrium Derivative Prices

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Author Info
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)
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.

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File URL: http://www2.econ.osaka-u.ac.jp/library/global/dp/0419.pdf
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Publisher Info
Paper provided by Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP) in its series Discussion Papers in Economics and Business with number 04-19.

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Length: 13 pages
Date of creation: Nov 2004
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Handle: RePEc:osk:wpaper:0419

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Web page: http://www.econ.osaka-u.ac.jp/
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Related research
Keywords: Equilibrium Derivative Price First-order Stochastic Dominance Noise Risk Risk-Neutral Probability.

Find related papers by JEL classification:
C65 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Miscellaneous Mathematical Tools
D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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