Equilibrium pricing in incomplete markets under translation invariant preferences
Patrick Cheridito (Operations Research and Financial Engineering, Princeton University, Princeton, New Jersey), Ulrich Horst (Department of Mathematics, Humboldt University Berlin, Berlin, Germany), Michael Kupper (Department of Mathematics and Statistics, University of Konstanz, Konstanz, Germany), Traian A. Pirvu (Department of Mathematics and Statistics, McMaster University, Hamilton, Ontario, Canada)
| Year of publication: |
February 2016
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|---|---|
| Authors: | Cheridito, Patrick ; Horst, Ulrich ; Kupper, Michael ; Pirvu, Traian A. |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 41.2016, 1, p. 174-195
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| Subject: | competitive equilibrium | incomplete markets | translation invariant preferences | heterogenous agents | trading constraints | one-fund theorem | Unvollkommener Markt | Incomplete market | Gleichgewichtsmodell | Equilibrium model | Wertpapierhandel | Securities trading | Kapitalmarkttheorie | Financial economics | Stochastischer Prozess | Stochastic process | Gleichgewichtstheorie | Equilibrium theory | Optionspreistheorie | Option pricing theory | Marktmechanismus | Market mechanism | Analysis | Mathematical analysis |