Asset pricing in an imperfect world

被引：6

作者：

Cassese, Gianluca ^{[1
,2
]}

机构：

[1] Univ Milano Bicocca, Dept Econ Stat & Management, Via Bicocca Arcimboldi 8, I-20126 Milan, Italy

[2] Univ Lugano, Via G Buffi 13, CH-6904 Lugano, Switzerland

来源：

ECONOMIC THEORY | 2017年 / 64卷 / 03期

关键词：

Arbitrage; Bid/ask spreads; Bubbles; Coherence; Fundamental theorem of asset pricing; Risk-neutral probability; Transaction costs; PROPORTIONAL TRANSACTION COSTS; STATE-CONTINGENT CLAIMS; FUNDAMENTAL THEOREM; SECURITIES MARKETS; FINANCIAL-MARKETS; DISCRETE-TIME; OPTION PRICES; RISK MEASURES; ARBITRAGE; BUBBLES;

D O I：

10.1007/s00199-016-0999-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no-arbitrage property. We show that prices are coherent if and only if the set of pricing measures is non-empty, i.e., if pricing by expectation is possible. We then obtain a decomposition of coherent prices highlighting the role of bubbles. Eventually, we show that under very weak conditions, the coherent pricing of options implies a very clear representation which permits, as in Breeden and Litzenberger (J Bus 51:621-651, 1978), to extract the implied probability.

引用

页码：539 / 570

页数：32

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