Risk-neutral economy and zero price of risk

被引：0
|
作者：
Oldrich Alfons Vasicek
机构：
来源：
Mathematics and Financial Economics | 2014年 / 8卷
关键词：
Risk-neutrality; Market price of risk; General equilibrium; Exchange and production economies; Determination of interest rates; Term structure of interest rates; D51; D53; E43;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The paper investigates the equilibrium in an economy in which all participants are indifferent to risk. The mechanism of asset and derivative pricing in such economy is identified. It is shown that no economy in equilibrium with stochastic interest rates can be simultaneously risk-neutral and have zero market price of risk. On the other hand, there exist equilibrium economies with risk-averse participants and zero prices of risk.
引用
收藏
页码：229 / 239
页数：10
相关论文
共 50 条
  • [31] Inference on Risk-Neutral Measures for Incomplete Markets
    Kaido, Hiroaki
    White, Halbert
    JOURNAL OF FINANCIAL ECONOMETRICS, 2009, 7 (03) : 199 - 246
  • [32] Risk-Neutral Densities and Their Application in the Piterbarg Framework
    Levendis, Alexis
    Venter, Pierre
    ADVANCES IN CROSS-SECTION DATA METHODS IN APPLIED ECONOMIC RESEARCH, ICOAE 2019, 2020, : 59 - 74
  • [33] An idea of risk-neutral momentum and market fear
    Schadner, Wolfgang
    FINANCE RESEARCH LETTERS, 2020, 37
  • [34] Asymptotic Expansion of Risk-Neutral Pricing Density
    Mazzoni, Thomas
    INTERNATIONAL JOURNAL OF FINANCIAL STUDIES, 2018, 6 (01):
  • [35] Arbitrage pricing theory and risk-neutral measures
    Miklós Rásonyi
    Decisions in Economics and Finance, 2004, 27 (2) : 109 - 123
  • [36] Risk-neutral Modeling with Affine and Nonaffine Models
    Durham, Garland B.
    JOURNAL OF FINANCIAL ECONOMETRICS, 2013, 11 (04) : 650 - 681
  • [37] Risk-Neutral Density Estimation: Looking at the Tails
    Reinke, Martin
    JOURNAL OF DERIVATIVES, 2020, 27 (03): : 99 - 125
  • [38] Risk-neutral skewness and commodity futures pricing
    Fuertes, Ana-Maria
    Liu, Zhenya
    Tang, Weiqing
    JOURNAL OF FUTURES MARKETS, 2022, 42 (04) : 751 - 785
  • [39] A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES
    Aid, Rene
    Campi, Luciano
    Huu, Adrien Nguyen
    Touzi, Nizar
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2009, 12 (07) : 925 - 947
  • [40] Risk-Neutral Pricing for Arbitrage Pricing Theory
    Laurence Carassus
    Miklós Rásonyi
    Journal of Optimization Theory and Applications, 2020, 186 : 248 - 263
12345