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Titolo:
Pricing issues with investment flows - Applications to market models with frictions
Autore:
Napp, C;
Indirizzi:
Univ Paris 09, CEREMADE, F-78775 Paris 16, France Univ Paris 09 Paris France 16 ris 09, CEREMADE, F-78775 Paris 16, France
Titolo Testata:
JOURNAL OF MATHEMATICAL ECONOMICS
fascicolo: 3, volume: 35, anno: 2001,
pagine: 383 - 408
SICI:
0304-4068(200106)35:3<383:PIWIF->2.0.ZU;2-I
Fonte:
ISI
Lingua:
ENG
Soggetto:
SECURITIES MARKETS; FUNDAMENTAL THEOREM; ARBITRAGE; MARTINGALES; CONSTRAINTS; FUNCTIONALS; EQUILIBRIUM; SELECTION;
Keywords:
contingent claims pricing; market imperfections; superreplication cost; arbitrage; viability;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Social & Behavioral Sciences
Citazioni:
45
Recensione:
Indirizzi per estratti:
Indirizzo: Napp, C Univ Paris 09, CEREMADE, Dauphine & Pl Marechal Lattre Tassigny, F-78775 Paris 16, France Univ Paris 09 Dauphine & Pl Marechal Lattre Tassigny Paris France 16
Citazione:
C. Napp, "Pricing issues with investment flows - Applications to market models with frictions", J MATH ECON, 35(3), 2001, pp. 383-408

Abstract

In this paper, we study some foundational. issues in the theory of asset pricing. We consider a model where any investment opportunity is described in terms of cash flows. We do not assume that there is a numeraire, the timehorizon is not supposed to be finite, the investment opportunities are notspecifically related to the buying and selling of securities on a financial market. In this quite general framework, we consider different possible definitions of admissible prices for a contingent flow, mainly related to arbitrage and equilibrium considerations, and for each possible definition, we characterize the set of admissible prices. Since most market imperfections, such as short sale constraints, convex cone constraints, proportional transaction costs, no borrowing or different borrowing and lending rates, etc., can fit in the preceding model for a specific set of investment opportunities, our approach with flows provides a unified framework far the study of pricing issues in market models with frictions (including imperfections on the numeraire). We generalize existing results and we obtain them ah in a unified way. (C) 2001 Elsevier Science B.V. All rights reserved.

ASDD Area Sistemi Dipartimentali e Documentali, Università di Bologna, Catalogo delle riviste ed altri periodici
Documento generato il 06/07/20 alle ore 05:29:09