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Arbitrage pricing and equilibrium pricing : compatibility conditions

Napp, Clotilde; Jouini, Elyès (2001), Arbitrage pricing and equilibrium pricing : compatibility conditions, in Avellaneda, Marco, Quantitative analysis in financial markets : collected papers of the New York University Mathematical Finance Seminar. Volume III, World Scientific, p. 131-158

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3B3DAF72d01.pdf (259.0Kb)
Type
Chapitre d'ouvrage
Date
2001
Book title
Quantitative analysis in financial markets : collected papers of the New York University Mathematical Finance Seminar. Volume III
Book author
Avellaneda, Marco
Publisher
World Scientific
ISBN
981-02-4693-5
Pages
131-158
Metadata
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Author(s)
Napp, Clotilde cc
Jouini, Elyès
Abstract (EN)
The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price rocesses. In the more realistic context of partial information, the equilibrium analysis permits to construct a unique valuation operator which only depends on some particular price processes as well as on the dividends process. In this paper we present these two approaches and we explore their links and the conditions under which they are compatible ; In particular, we derive from the equilibrium conditions some links between the price processes paramaters and those of the dividend processes paramaters.
Subjects / Keywords
optimality; equilibrium; incomplete markets; derivatives pricing; Arbitrage; nonredudant assets
JEL
G13 - Contingent Pricing; Futures Pricing
G12 - Asset Pricing; Trading Volume; Bond Interest Rates
G10 - General
C62 - Existence and Stability Conditions of Equilibrium

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