haku: @indexterm incomplete markets / yhteensä: 34
viite: 5 / 34
Tekijä:Björk, T.
Slinko, I.
Otsikko:Towards a general theory of good-deal bounds
Lehti:Review of finance
2006 : VOL. 10:2, p. 221-260
Asiasana:asset valuation
financial theory
incomplete markets
Kieli:eng
Tiivistelmä:This study considers an incomplete market in the form of a multidimensional Markovian factor model, by a general marked point process (representing discrete jump events), as well as by a standard multidimensional Wiener process. Within this framework, this paper studies arbitrage-free good-deal pricing bounds for derivative assets, thereby extending the results by Cochrane and Saá Requejo, (2000) to the point process case, while, at the same time, obtaining a radical simplification of the theory. To illustrate, the paper presents numerical results for the classic Merton jump-diffusion model. As a by-product of the general theory, the study derives extended Hansen-Jagannathan bounds for the Sharpe Ratio process in the point process setting.
SCIMA tietueen numero: 264775
lisää koriin
SCIMA