EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL
In a stochastic volatility model, the no-free-lunch assumption does not induce a unique arbitrage price because of market incompleteness. In this paper, we consider a contingent claim on the primitive asset, traded in zero net supply. Given a system of Arrow-Debreu state prices, we provide necessary...
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Gespeichert in:
| Autor*in: |
Pham, Huyěn [verfasserIn] Touzi, Nizar [verfasserIn] |
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| Format: |
E-Artikel |
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| Erschienen: |
Oxford, UK: Blackwell Publishing Ltd ; 1996 |
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| Schlagwörter: |
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| Umfang: |
Online-Ressource |
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| Reproduktion: |
2006 ; Blackwell Publishing Journal Backfiles 1879-2005 |
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| Übergeordnetes Werk: |
In: Mathematical finance - Oxford [u.a.] : Wiley-Blackwell, 1991, 6(1996), 2, Seite 0 |
| Übergeordnetes Werk: |
volume:6 ; year:1996 ; number:2 ; pages:0 |
| Links: |
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| DOI / URN: |
10.1111/j.1467-9965.1996.tb00078.x |
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| 520 | |a In a stochastic volatility model, the no-free-lunch assumption does not induce a unique arbitrage price because of market incompleteness. In this paper, we consider a contingent claim on the primitive asset, traded in zero net supply. Given a system of Arrow-Debreu state prices, we provide necessary and sufficient conditions for consistency with an intertemporal additive equilibrium model that we fully characterize. We show that the risk premia corresponding to the minimal martingale of Föllmer and Schweizer (1991) are consistent with logarithmic preferences, while the Hull and White model (1987) (volatility risk premium independent of the asset price) is consistent with a class of utility functions including constant relative risk aversion (CRRA) ones. | ||
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10.1111/j.1467-9965.1996.tb00078.x doi (DE-627)NLEJ241820022 DE-627 ger DE-627 rakwb Pham, Huyěn verfasserin aut EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL Oxford, UK Blackwell Publishing Ltd 1996 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In a stochastic volatility model, the no-free-lunch assumption does not induce a unique arbitrage price because of market incompleteness. In this paper, we consider a contingent claim on the primitive asset, traded in zero net supply. Given a system of Arrow-Debreu state prices, we provide necessary and sufficient conditions for consistency with an intertemporal additive equilibrium model that we fully characterize. We show that the risk premia corresponding to the minimal martingale of Föllmer and Schweizer (1991) are consistent with logarithmic preferences, while the Hull and White model (1987) (volatility risk premium independent of the asset price) is consistent with a class of utility functions including constant relative risk aversion (CRRA) ones. 2006 Blackwell Publishing Journal Backfiles 1879-2005 |2006|||||||||| Incomplete market Touzi, Nizar verfasserin aut In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 6(1996), 2, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:6 year:1996 number:2 pages:0 http://dx.doi.org/10.1111/j.1467-9965.1996.tb00078.x text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 6 1996 2 0 |
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10.1111/j.1467-9965.1996.tb00078.x doi (DE-627)NLEJ241820022 DE-627 ger DE-627 rakwb Pham, Huyěn verfasserin aut EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL Oxford, UK Blackwell Publishing Ltd 1996 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In a stochastic volatility model, the no-free-lunch assumption does not induce a unique arbitrage price because of market incompleteness. In this paper, we consider a contingent claim on the primitive asset, traded in zero net supply. Given a system of Arrow-Debreu state prices, we provide necessary and sufficient conditions for consistency with an intertemporal additive equilibrium model that we fully characterize. We show that the risk premia corresponding to the minimal martingale of Föllmer and Schweizer (1991) are consistent with logarithmic preferences, while the Hull and White model (1987) (volatility risk premium independent of the asset price) is consistent with a class of utility functions including constant relative risk aversion (CRRA) ones. 2006 Blackwell Publishing Journal Backfiles 1879-2005 |2006|||||||||| Incomplete market Touzi, Nizar verfasserin aut In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 6(1996), 2, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:6 year:1996 number:2 pages:0 http://dx.doi.org/10.1111/j.1467-9965.1996.tb00078.x text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 6 1996 2 0 |
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10.1111/j.1467-9965.1996.tb00078.x doi (DE-627)NLEJ241820022 DE-627 ger DE-627 rakwb Pham, Huyěn verfasserin aut EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL Oxford, UK Blackwell Publishing Ltd 1996 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In a stochastic volatility model, the no-free-lunch assumption does not induce a unique arbitrage price because of market incompleteness. In this paper, we consider a contingent claim on the primitive asset, traded in zero net supply. Given a system of Arrow-Debreu state prices, we provide necessary and sufficient conditions for consistency with an intertemporal additive equilibrium model that we fully characterize. We show that the risk premia corresponding to the minimal martingale of Föllmer and Schweizer (1991) are consistent with logarithmic preferences, while the Hull and White model (1987) (volatility risk premium independent of the asset price) is consistent with a class of utility functions including constant relative risk aversion (CRRA) ones. 2006 Blackwell Publishing Journal Backfiles 1879-2005 |2006|||||||||| Incomplete market Touzi, Nizar verfasserin aut In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 6(1996), 2, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:6 year:1996 number:2 pages:0 http://dx.doi.org/10.1111/j.1467-9965.1996.tb00078.x text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 6 1996 2 0 |
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10.1111/j.1467-9965.1996.tb00078.x doi (DE-627)NLEJ241820022 DE-627 ger DE-627 rakwb Pham, Huyěn verfasserin aut EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL Oxford, UK Blackwell Publishing Ltd 1996 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In a stochastic volatility model, the no-free-lunch assumption does not induce a unique arbitrage price because of market incompleteness. In this paper, we consider a contingent claim on the primitive asset, traded in zero net supply. Given a system of Arrow-Debreu state prices, we provide necessary and sufficient conditions for consistency with an intertemporal additive equilibrium model that we fully characterize. We show that the risk premia corresponding to the minimal martingale of Föllmer and Schweizer (1991) are consistent with logarithmic preferences, while the Hull and White model (1987) (volatility risk premium independent of the asset price) is consistent with a class of utility functions including constant relative risk aversion (CRRA) ones. 2006 Blackwell Publishing Journal Backfiles 1879-2005 |2006|||||||||| Incomplete market Touzi, Nizar verfasserin aut In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 6(1996), 2, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:6 year:1996 number:2 pages:0 http://dx.doi.org/10.1111/j.1467-9965.1996.tb00078.x text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 6 1996 2 0 |
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10.1111/j.1467-9965.1996.tb00078.x doi (DE-627)NLEJ241820022 DE-627 ger DE-627 rakwb Pham, Huyěn verfasserin aut EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL Oxford, UK Blackwell Publishing Ltd 1996 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In a stochastic volatility model, the no-free-lunch assumption does not induce a unique arbitrage price because of market incompleteness. In this paper, we consider a contingent claim on the primitive asset, traded in zero net supply. Given a system of Arrow-Debreu state prices, we provide necessary and sufficient conditions for consistency with an intertemporal additive equilibrium model that we fully characterize. We show that the risk premia corresponding to the minimal martingale of Föllmer and Schweizer (1991) are consistent with logarithmic preferences, while the Hull and White model (1987) (volatility risk premium independent of the asset price) is consistent with a class of utility functions including constant relative risk aversion (CRRA) ones. 2006 Blackwell Publishing Journal Backfiles 1879-2005 |2006|||||||||| Incomplete market Touzi, Nizar verfasserin aut In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 6(1996), 2, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:6 year:1996 number:2 pages:0 http://dx.doi.org/10.1111/j.1467-9965.1996.tb00078.x text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 6 1996 2 0 |
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EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL |
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In a stochastic volatility model, the no-free-lunch assumption does not induce a unique arbitrage price because of market incompleteness. In this paper, we consider a contingent claim on the primitive asset, traded in zero net supply. Given a system of Arrow-Debreu state prices, we provide necessary and sufficient conditions for consistency with an intertemporal additive equilibrium model that we fully characterize. We show that the risk premia corresponding to the minimal martingale of Föllmer and Schweizer (1991) are consistent with logarithmic preferences, while the Hull and White model (1987) (volatility risk premium independent of the asset price) is consistent with a class of utility functions including constant relative risk aversion (CRRA) ones. |
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In a stochastic volatility model, the no-free-lunch assumption does not induce a unique arbitrage price because of market incompleteness. In this paper, we consider a contingent claim on the primitive asset, traded in zero net supply. Given a system of Arrow-Debreu state prices, we provide necessary and sufficient conditions for consistency with an intertemporal additive equilibrium model that we fully characterize. We show that the risk premia corresponding to the minimal martingale of Föllmer and Schweizer (1991) are consistent with logarithmic preferences, while the Hull and White model (1987) (volatility risk premium independent of the asset price) is consistent with a class of utility functions including constant relative risk aversion (CRRA) ones. |
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In a stochastic volatility model, the no-free-lunch assumption does not induce a unique arbitrage price because of market incompleteness. In this paper, we consider a contingent claim on the primitive asset, traded in zero net supply. Given a system of Arrow-Debreu state prices, we provide necessary and sufficient conditions for consistency with an intertemporal additive equilibrium model that we fully characterize. We show that the risk premia corresponding to the minimal martingale of Föllmer and Schweizer (1991) are consistent with logarithmic preferences, while the Hull and White model (1987) (volatility risk premium independent of the asset price) is consistent with a class of utility functions including constant relative risk aversion (CRRA) ones. |
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<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">NLEJ241820022</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20210707142420.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">120427s1996 xx |||||o 00| ||und c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1111/j.1467-9965.1996.tb00078.x</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)NLEJ241820022</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Pham, Huyěn</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Oxford, UK</subfield><subfield code="b">Blackwell Publishing Ltd</subfield><subfield code="c">1996</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">zzz</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">z</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">zu</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">In a stochastic volatility model, the no-free-lunch assumption does not induce a unique arbitrage price because of market incompleteness. In this paper, we consider a contingent claim on the primitive asset, traded in zero net supply. Given a system of Arrow-Debreu state prices, we provide necessary and sufficient conditions for consistency with an intertemporal additive equilibrium model that we fully characterize. We show that the risk premia corresponding to the minimal martingale of Föllmer and Schweizer (1991) are consistent with logarithmic preferences, while the Hull and White model (1987) (volatility risk premium independent of the asset price) is consistent with a class of utility functions including constant relative risk aversion (CRRA) ones.</subfield></datafield><datafield tag="533" ind1=" " ind2=" "><subfield code="d">2006</subfield><subfield code="f">Blackwell Publishing Journal Backfiles 1879-2005</subfield><subfield code="7">|2006||||||||||</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Incomplete market</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Touzi, Nizar</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">In</subfield><subfield code="t">Mathematical finance</subfield><subfield code="d">Oxford [u.a.] : Wiley-Blackwell, 1991</subfield><subfield code="g">6(1996), 2, Seite 0</subfield><subfield code="h">Online-Ressource</subfield><subfield code="w">(DE-627)NLEJ243926227</subfield><subfield code="w">(DE-600)1481288-5</subfield><subfield code="x">1467-9965</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:6</subfield><subfield code="g">year:1996</subfield><subfield code="g">number:2</subfield><subfield code="g">pages:0</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://dx.doi.org/10.1111/j.1467-9965.1996.tb00078.x</subfield><subfield code="q">text/html</subfield><subfield code="x">Verlag</subfield><subfield code="z">Deutschlandweit zugänglich</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_U</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-1-DJB</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_NL_ARTICLE</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">6</subfield><subfield code="j">1996</subfield><subfield code="e">2</subfield><subfield code="h">0</subfield></datafield></record></collection>
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