Equilibrium of Incomplete European Option Markets
Author: Peter Henry Huang
Publisher:
Published: 1990
Total Pages: 52
ISBN-13:
DOWNLOAD EBOOKRead and Download eBook Full
Author: Peter Henry Huang
Publisher:
Published: 1990
Total Pages: 52
ISBN-13:
DOWNLOAD EBOOKAuthor: Peter Henry Huang
Publisher:
Published: 1989
Total Pages: 40
ISBN-13:
DOWNLOAD EBOOKAuthor: Christopher Peter Arthur Cook
Publisher:
Published: 2006
Total Pages: 248
ISBN-13:
DOWNLOAD EBOOKAuthor: Marie Chazal
Publisher:
Published: 2007
Total Pages: 45
ISBN-13:
DOWNLOAD EBOOKWe consider the problem of valuing European options in a complete market but with incomplete data. Typically, when the underlying asset dynamics is not specified, the martingale probability measure is unknown. Given a consensus on the actual distribution of the underlying price at maturity, we derive an upper bound on the call option price by putting two kind of restrictions on the pricing probability measure.First, we put a restriction on the second risk-neutral moment of the underlying asset terminal value. Second, from equilibrium pricing arguments one can put a monotonicity restriction on the Radon-Nikodym density of the pricing probability with respect to the true probability measure. This density is restricted to be a nonincreasing function of the underlying price at maturity. The bound appears then as the solution of a constrained optimization problem and we adopt a duality approach to solve it.We obtain a weak sufficient condition for strong duality and existence for the dual problem to hold, for options defined by general payoff functions. Explicit bounds are provided for the call option. Finally, we provide a numerical example.
Author: Kenneth Joseph Arrow
Publisher: Cambridge University Press
Published: 1999-01-28
Total Pages: 412
ISBN-13: 9780521553551
DOWNLOAD EBOOKLeading theorists offer insights on the role of uncertainty and information in the market.
Author: Jian Chen
Publisher: Springer
Published: 2018-04-10
Total Pages: 163
ISBN-13: 9811074283
DOWNLOAD EBOOKThis book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.
Author: John Eatwell
Publisher: Springer
Published: 1992-10-14
Total Pages: 869
ISBN-13: 1349117218
DOWNLOAD EBOOKThe first reference work ever to be awarded the Eccles Prize for Excellence in Economic Writing from Columbia Business School. Continuing in the tradition of The New Palgrave , this 3-volume set provides an unparalleled guide to modern money, banking and finance. In over 1,000 substantial essays by leading academic and professional authorities, it provides the most comprehensive analysis available of contemporary theory and the fast-evolving global monetary and financial framework. In its scope and depth of coverage, it is indispensable for the academic and practitioner alike.
Author: Antonio Villanacci
Publisher: Springer Science & Business Media
Published: 2013-04-17
Total Pages: 495
ISBN-13: 1475736193
DOWNLOAD EBOOKGeneral equilibrium In this book we try to cope with the challenging task of reviewing the so called general equilibrium model and of discussing one specific aspect of the approach underlying it, namely, market completeness. With the denomination "general equilibrium" (from now on in short GE) we shall mainly refer to two different things. On one hand, in particular when using the expression "GE approach", we shall refer to a long established methodolog ical tradition in building and developing economic models, which includes, as of today, an enormous amount of contributions, ranging in number by several 1 thousands • On the other hand, in particular when using the expression "stan dard differentiable GE model", we refer to a very specific version of economic model of exchange and production, to be presented in Chapters 8 and 9, and to be modified in Chapters 10 to 15. Such a version is certainly formulated within the GE approach, but it is generated by making several quite restrictive 2 assumptions • Even to list and review very shortly all the collective work which can be ascribed to the GE approach would be a formidable task for several coauthors in a lifetime perspective. The book instead intends to address just a single issue. Before providing an illustration of its main topic, we feel the obligation to say a word on the controversial character of GE. First of all, we should say that we identify the GE approach as being based 3 on three principles .
Author: Alexandre C. Ziegler
Publisher: Springer Science & Business Media
Published: 2012-11-02
Total Pages: 205
ISBN-13: 3540247556
DOWNLOAD EBOOKAfter a brief review of the existing incomplete information literature, the effect of incomplete information on investors' exptected utility, risky asset prices, and interest rates is described. It is demonstrated that increasing the quality of investors' information need not increase their expected utility and the prices of risky assets. The impact of other factors is discussed in detail. It is also demonstrated that financial markets in general do not aggregate information efficiently, a fact that can explain the equity premium puzzle.
Author: Michael Magill
Publisher: MIT Press
Published: 2002
Total Pages: 566
ISBN-13: 9780262632546
DOWNLOAD EBOOKTheory of incompl. markets/M. Magill, M. Quinzii. - V.1.