Arbitrage pricing in non-Walrasian financial markets

This paper presents conditions under which a model of non-Walrasian trading in financial markets separates the real equilibrium outcomes from the details of the financial structure, and hence permits the pricing of non-traded derivatives by means of no-arbitrage formulae. I demonstrate that these conditions hold in a number of standard models, including the canonical settings of Cournot and Stackelberg. In contrast, Nash equilibrium in the model of strategic market games proposed by Shapley and Shubik does not allow for the pricing of non-traded derivatives, and I explain why this is the case.