A Benchmark Model for Financial Markets

This paper introduces a benchmark model for financial markets, which is based on the unique characterization of a benchmark portfolio that is chosen to be the growth optimal portfolio. The general structure of risk premia for asset prices as an average of appreciation rates. The benchmark model is shown to be locally arbitrage free, however, it still permits some form of arbitrage. Finally, a subclass of arbitrage free contingent claim prices is derived.

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Year of publication:	2001-06-01
Authors:	Platen, Eckhard
Institutions:	Finance Discipline Group, Business School
Subject:	financial market model \| benchmark model \| growth optimal portfolio \| contingent claim pricing \| arbitrage amount

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Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 59
Classification:	G10 - General Financial Markets. General ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004984520