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Arbitrage pricing and equilibrium pricing : compatibility conditions

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  • Elyès Jouini

    (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Clotilde Napp

    (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price processes. In the more realistic context of partial information, the equilibrium analysis permits to construct a unique valuation operator which only depends on some particular price processes as well as on the dividends process. In this paper we present these two approaches and we explore their links and the conditions under which they are compatible ; In particular, we derive from the equilibrium conditions some links between the price processes paramaters and those of the dividend processes paramaters

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  • Elyès Jouini & Clotilde Napp, 2002. "Arbitrage pricing and equilibrium pricing : compatibility conditions," Post-Print halshs-00176423, HAL.
    • Handle: RePEc:hal:journl:halshs-00176423
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00176423
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    Cited by:

    1. Elyes Jouini, 2020. "Equilibrium pricing and market completion: a counterexample," PSE-Ecole d'économie de Paris (Postprint) halshs-03048797, HAL.
    2. Elyes Jouini, 2020. "Equilibrium pricing and market completion: a counterexample," Economics Bulletin, AccessEcon, vol. 40(3), pages 1963-1969.
    3. repec:dau:papers:123456789/343 is not listed on IDEAS

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