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Un modele discret et stochastique d'investissement avec une application aux couts de transaction

Author

Listed:
  • Carassus, L.
  • Jouini, E.

Abstract

Ce travail est constitue de deux parties. Dans un premier temp, nous etudions un modele ou les actifs sont des projets d'investissements decrits par leurs flux. Ceux-ci sont modelises par des processus stochastiques dont la dynamique est decrite par un arbre binomial. Les investissements ont la propriete suivante: ils sont disponibles a toutes dates et dans tous etats du monde, dans les memes conditions. Dans un tel modele, nous montrons que l'absence d'arbitrage implique l'existence d'un taux d'actualisation et d'une probabilite particuliere tels que, sous cette probabilite, l'esperance de la valeur presente actualisee de tous les investissments soit negative, si les investissements ne peuvent etre vendus a decouvert, et nulle sinon.

Suggested Citation

  • Carassus, L. & Jouini, E., 1998. "Un modele discret et stochastique d'investissement avec une application aux couts de transaction," Papiers d'Economie Mathématique et Applications 98.16, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:fth:pariem:98.16
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    Keywords

    COUTS DE TRANSACTION ; INVESTISSEMENTS ; MODELES ; ARBITRAGE;
    All these keywords.

    JEL classification:

    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies

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