The No-arbitrage Pricing of Non-traded Assets

This paper shows how to uniquely price non-traded assets using no-arbitrage in an otherwise friction-less market setting. The approach requires the assumption that the hedging error, properly defined, is non-priced or idiosyncratic risk. This methodology can be applied to private loans, illiquid publicly traded debt, insurance contacts, private equity, real estate, and real options

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Year of publication:	[2023]
Authors:	Jarrow, Robert A.
Publisher:	[S.l.] : SSRN
Subject:	Arbitrage Pricing \| Arbitrage pricing \| Arbitrage \| Theorie \| Theory \| CAPM

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