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Equilibrium pricing and market completion

Jouini, Elyès; Napp, Clotilde (2013-12), Equilibrium pricing and market completion. https://basepub.dauphine.fr/handle/123456789/14226

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W2.pdf (143.6Kb)
Type
Document de travail / Working paper
Date
2013-12
Pages
23
Metadata
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Author(s)
Jouini, Elyès
Napp, Clotilde cc
Abstract (EN)
In both arbitrage and utility pricing approaches, the fictitious completion appears as a very powerful tool that permits to generalize to an incomplete markets framework, results initially established in a complete markets setting. Does this technique permit to characterize the equilibrium pricing interval? In other words, does the set of prices that can be reached at the equilibrium for at least one distribution of preferences/endowments and for at least one completion coincide with the set of prices that can be reached at the equilibrium for at least one distribution of preferences/endowments? This note provides a negative answer.
Subjects / Keywords
Fictitious completion; Market completion; Equilibrium pricing interval
JEL
D52 - Incomplete Markets
G12 - Asset Pricing; Trading Volume; Bond Interest Rates

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