Market clearing and derivative pricing

被引：5
|
作者：
Anderson, RM
Raimondo, RC
机构：
[1] Univ Calif Berkeley, Dept Econ, Berkeley, CA 94720 USA
[2] Univ Melbourne, Dept Econ, Melbourne, Vic 3010, Australia
来源：
ECONOMIC THEORY | 2005年 / 25卷 / 01期
关键词：
option pricing; general equilibrium; dynamically incomplete markets;
D O I：
10.1007/s00199-004-0468-6
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 (2001). 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.
引用
收藏
页码：21 / 34
页数：14
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