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Equilibrium pricing and market completion: a counterexample

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EB-20-V40-I3-P170.pdf (284.6Kb)
Date
2020
Dewey
Economie financière
Sujet
arbitrage pricing; utility pricing; equilibrium pricing; incomplete markets; fictitious completion
JEL code
G.G1; D.D5
Journal issue
Economics Bulletin
Volume
40
Number
3
Publication date
2020
Article pages
1963-1969
URI
https://basepub.dauphine.fr/handle/123456789/21548
Collections
  • CEREMADE : Publications
Metadata
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Author
Jouini, Elyès
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
578027 Paris Jourdan Sciences Economiques [PJSE]
Type
Article accepté pour publication ou publié
Abstract (EN)
In both arbitrage and utility pricing approaches, the fictitious completion appears as a powerful tool that permits to extend complete markets results to an incomplete markets framework. Does this technique permit to characterize the equilibrium pricing interval? This note provides a negative answer.

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