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Equilibrium Pricing in Incomplete Markets

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Author Info
Elyès Jouini
Abdelhamid Bizid

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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.

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File URL: http://129.3.20.41/eps/fin/papers/0312/0312004.pdf
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Publisher Info
Paper provided by EconWPA in its series Finance with number 0312004.

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Length: 25 pages
Date of creation: 08 Dec 2003
Date of revision:
Handle: RePEc:wpa:wuwpfi:0312004

Note: Type of Document - pdf; prepared on Win98; pages: 25
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Web page: http://129.3.20.41

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Related research
Keywords: equilibrium pricing incomplete markets state-price deflator arbitrage pricing stochastic volatility

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G - Financial Economics

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This page was last updated on 2008-8-8.


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