Arbitrage pricing in non-Walrasian financial markets

DOI10.1007/S00199-017-1074-8MaRDI QIDQ2323574zbMATH OpenOpenAlexFDO

Authors Andrés Carvajal

Publication date 3 September 2019

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-017-1074-8

zbMATH Keywords

arbitrage pricingderivative pricingnon-competitive behaviorstrategic market games

Mathematics Subject Classification ID

Applications of game theory (91A80) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• No-arbitrage, state prices and trade in thin financial markets
• Convergence to no arbitrage equilibria in market games.
• Generic non-existence of equilibria in finance models
• Arbitrage and equilibrium in strategic security markets
• Arbitrage-free pricing of derivatives in nonlinear market models

Cites work

• A battle of informed traders and the market game foundations for rational expectations equilibrium
• A general equilibrium analysis of strategic arbitrage
• Arbitrage and equilibrium in strategic security markets
• Atomic Cournotian traders may be Walrasian
• Cournot-Walras equilibrium as a subgame perfect equilibrium
• Endogenous market power
• scientific article; zbMATH DE number 4207180 (Why is no real title available?)
• scientific article; zbMATH DE number 3373921 (Why is no real title available?)
• Imperfect Competition in a Multi-Security Market with Risk Neutrality
• Information in Securities Markets: Kyle Meets Glosten and Milgrom
• Informed Speculation with Imperfect Competition
• Nash Equilibrium and the Industrial Organization of Markets with Large Fixed Costs
• No-arbitrage, state prices and trade in thin financial markets
• Non-Walrasian equilibria and the law of one price

Cited in

(14)

• The effect of market power on risk-sharing
• Financial innovation and arbitrage pricing in frictional economies
• Non-Walrasian equilibria and the law of one price
• The arbitrage pricing theorem with non-expected utility preferences
• Investment effects of pricing schemes for non-convex markets
• Arbitrage theory for non convex financial market models
• Risky arbitrage, asset prices, and externalities
• No-arbitrage, state prices and trade in thin financial markets
• scientific article; zbMATH DE number 1867103 (Why is no real title available?)
• scientific article; zbMATH DE number 1867107 (Why is no real title available?)
• Arbitrage and pricing in a general model with flows
• The no-arbitrage pricing of non-traded assets
• Government trading and efficiency in imperfectly competitive financial markets
• On tests of the arbitrage pricing theory

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