Derivative Pricing in Complete and Incomplete Markets
نویسندگان
چکیده
منابع مشابه
Asset and Derivative Pricing with Incomplete Markets
This paper presents a model where uninsurable income shocks and credit constraints generate a demand for liquidity. Infinitely lived agents purchase a risky asset to self insure themselves against their individual risk. They also trade call options to diversify the aggregate risk they face. In this economy, options are not redundant but complete the market for aggregate risk. We are able to cha...
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ژورنال
عنوان ژورنال: MaRBLe
سال: 2013
ISSN: 2468-0311
DOI: 10.26481/marble.2013.v7.193