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Article Dans Une Revue Journal of Financial and Quantitative Analysis Année : 2005

Equilibrium Pricing in Incomplete Markets

Résumé

Given exogenously the price process of some asets, 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.

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Dates et versions

halshs-00176484 , version 1 (03-10-2007)

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  • HAL Id : halshs-00176484 , version 1

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Abdelhamid Bizid, Elyès Jouini. Equilibrium Pricing in Incomplete Markets. Journal of Financial and Quantitative Analysis, 2005, 40 (4), pp.833-848. ⟨halshs-00176484⟩
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