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.
Raimondo, R., & Anderson, R. (2006). Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets. In K. Vind (a cura di), Institutions, Equilibria and Efficiency: Essays in Honor of Birgit Grodal (pp. 27-48). Springer.
Citazione: | Raimondo, R., & Anderson, R. (2006). Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets. In K. Vind (a cura di), Institutions, Equilibria and Efficiency: Essays in Honor of Birgit Grodal (pp. 27-48). Springer. | |
Titolo: | Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets | |
Autori: | Raimondo, R; Anderson, R | |
Autori: | ||
Presenza di un coautore afferente ad Istituzioni straniere: | Si | |
Tipo: | Capitolo o saggio | |
Carattere della pubblicazione: | Scientifica | |
Data di pubblicazione: | 2006 | |
Lingua: | English | |
Titolo del libro: | Institutions, Equilibria and Efficiency: Essays in Honor of Birgit Grodal | |
ISBN: | 3540281606 | |
Appare nelle tipologie: | 03 - Contributo in libro |