Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets

被引：0
|
作者：
Anderson, Robert M. [1 ]
Raimondo, Roberto C. [2 ]
机构：
[1] Univ Calif Berkeley, Berkeley, CA 94720 USA
[2] Univ Melbourne, Melbourne, Vic 3010, Australia
来源：
INSTITUTIONS, EQUILIBRIA AND EFFICIENCY: ESSAYS IN HONOR OF BIRGIT GRODAL | 2006年 / 25卷
基金：
澳大利亚研究理事会; 美国国家科学基金会;
关键词：
Option pricing; General equilibrium; Dynamically incomplete markets;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We develop a method of assigning unique prices to derivative securities, including options, in the continuous-time finance model developed in Raimondo [47]. In contrast with the martingale method of valuing options, which cannot distinguish among infinitely many possible option pricing processes for a given underlying securities price process when markets are dynamically incomplete, our option prices are uniquely determined in equilibrium in closed form as a function of the underlying economic data.
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页码：27 / 48
页数：22
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