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dc.contributor.authorBizid, Abdelhamid
dc.contributor.authorJouini, Elyès
dc.date.accessioned2009-06-18T15:35:07Z
dc.date.available2009-06-18T15:35:07Z
dc.date.issued2005
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/357
dc.language.isoenen
dc.subjectincomplete marketsen
dc.subjectpricingen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelD52en
dc.titleEquilibrium Pricing in Incomplete Marketsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenGiven exogenously the price process of some assets, we constrain the price process of other assets, which are characterised 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.en
dc.relation.isversionofjnlnameJournal of Financial and Quantitative Analysis
dc.relation.isversionofjnlvol40en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2005-12
dc.relation.isversionofjnlpages833-848en
dc.relation.isversionofdoihttp://dx.doi.org/10.1017/S002210900000199Xen
dc.identifier.urlsitehttp://halshs.archives-ouvertes.fr/halshs-00176484/en/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherCambridge University Pressen
dc.subject.ddclabelEconomie financièreen


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