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Equilibrium pricing and market completion: a counterexample

Jouini, Elyès (2020), Equilibrium pricing and market completion: a counterexample, Economics Bulletin, 40, 3, p. 1963-1969

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Type
Article accepté pour publication ou publié
Date
2020
Journal name
Economics Bulletin
Volume
40
Number
3
Pages
1963-1969
Metadata
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Author(s)
Jouini, Elyès
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Paris Jourdan Sciences Economiques [PJSE]
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.
Subjects / Keywords
arbitrage pricing; utility pricing; equilibrium pricing; incomplete markets; fictitious completion
JEL
G1 - General Financial Markets
D5 - General Equilibrium and Disequilibrium