equilibrium pricing
Equilibrium pricing and market completion: a counterexample
... claim, equilibrium bounds delimit the set of all possible equilibrium prices for the asset under consideration for all possible distributions of agents preferences (within the class of vNM increasing and ...
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Equilibrium Pricing Bound on Option Prices
... the pricing probability ...from equilibrium pricing arguments one can put a monotonic- ity restriction on the Radon-Nikodym density of the pricing probability with respect to the true ...
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Equilibrium pricing and market completion: a counterexample
... and Equilibrium in Securities Markets with Frictions Mathematical Finance 9, ...and equilibrium pricing : compatibility con- ditions Quantitative analysis in …nancial markets, Collected Papers of the ...
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Equilibrium pricing and market completion
... the pricing kernel) only depends on the initial assets prices that is to say it does not depend on agents utility functions or initial endowments nor on the choice of the ...the equilibrium pricing ...
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Arbitrage pricing and equilibrium pricing : compatibility conditions
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Equilibrium Pricing in Incomplete Markets
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Nonparametric Methods and Option Pricing
... option pricing formula, Patilea, Ravoteur and Renault (1995) propose an econo- metric approach in a Hull and White (1987) (HW) setting which is also based on the concept of stock prices implicit in option prices ...
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Essays in empirical asset pricing
... 2017 ). Many linkages have been established between linear factor models in Arbitrage Pricing Theory (APT) and higher-order moments, as additional factors from CAPM can capture some of these moments. CAPM assumes ...
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The marginal pricing rule revisited
... cost pricing rule, he considered the normal cone of Dubovickii and Miljutin, that is, the firm follows the marginal cost pricing rule at a production y for a price vector p if p belongs to the normal cone ...
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The Econometrics of Option Pricing
... 3.3 Pricing options based on objective parameters A number of papers such as Andersen, Benzoni and Lund (2002) and Eraker, Johannes and Polson (2001) have derived the option pricing implications of ...
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GARCH option pricing under skew
... We get severe mispricing for deep out-of-the-money and short term call options, which tend to decrease the global performance of the model that is relatively correct. We note that long term skews tend to be more stable ...
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Commodity Derivatives: Modeling and Pricing
... The specification of commodity modeling is often reduced to an appro- priate representation of convenience yield, intrinsic seasonality and mean reversion of commodity price. As a matter of fact, convenience yield can be ...
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Arbitrage Pricing in Electricity Markets
... • Parameters ∆ k t are supposed to be known (by the producer). • D is non-tradable asset (⇒ incomplete market) How we choose the EMM ? Minimal Martingale Measure Q (Follmer and Schweizer) ⇒ S is a Q-martingale, D is the ...
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Clearance pricing optimization at Zara
... 3.1 Pricing Challenges Granted that creating a Master Price List for all Countries at the beginning of the Clearance Sales provides some level of homogeneity among the different Countries, it is only the ...
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Pricing and Hedging Defaultable Claim
... of pricing and hedging defaultable contingent claim in a Markovian framework using indifference ...the pricing and hedging problems in a more general framework (not Markov) using mean variance hedging ...
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Epistemic Equilibrium Logic
... Abstract We add epistemic modal operators to the language of here-and-there logic and define epistemic here- and-there models. We then successively define epistemic equilibrium models and autoepistemic ...
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Markovian traffic equilibrium
... 3 Markovian traffic equilibrium A critical assumption in the deterministic model is the fact that all users perceive the same costs c r . Now, the difficulty to discriminate paths with similar costs, as well as small ...
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Epistemic Equilibrium Logic
... Abstract We add epistemic modal operators to the language of here-and-there logic and define epistemic here- and-there models. We then successively define epistemic equilibrium models and autoepistemic ...
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Price Fairness versus Pricing Fairness
... 3.1 Experimental design A common research method in studies of fairness is to ask participants of experiments to imagine themselves in hypothetical situations. Five percent of the November 2009 flow of passengers (n=250) ...
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Asset pricing and expected inflation
... In this paper, the expected real rate of return of the market portfolio falls less if expected inflation increases because of an increase in expected money growth than if it increases be[r] ...
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