The Comparative Statics of Equilibrium Derivative Prices
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.
|Date of creation:||Nov 2004|
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|Contact details of provider:|| Web page: http://www.econ.osaka-u.ac.jp/|
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