Incomplete financial markets and jumps in asset prices

DOI10.1007/S00199-015-0884-9MaRDI QIDQ324352zbMATH OpenOpenAlexFDO

Authors Hervé Crès, Tobias Markeprand, Mich Tvede

Publication date 11 October 2016

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://ueaeprints.uea.ac.uk/id/eprint/63377/1/jump.pdf

zbMATH Keywords

general equilibriumfinancial marketsjumps in asset prices

Mathematics Subject Classification ID

General equilibrium theory (91B50)

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Cites work

• scientific article; zbMATH DE number 1281927 (Why is no real title available?)
• Consumption dynamics in general equilibrium: a characterisation when markets are incomplete
• Effectively complete equilibria -- A note
• Excess price volatility and financial innovation
• Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
• Generic inefficiency of equilibria in the general equilibrium model with incomplete asset markets and infinite time
• INFINITE HORIZON INCOMPLETE MARKETS WITH A CONTINUUM OF STATES
• Incomplete markets and volatility
• Indeterminacy in incomplete market economies
• Multifrequency jump-diffusions: An equilibrium approach
• Multiplicity of equilibria
• Option pricing when underlying stock returns are discontinuous
• Regular infinite economies
• Smooth infinite economies
• The existence of security market equilibrium with a non-atomic state space

Cited in

(5)

• Asset Markets and Equilibrium Processes
• Eliminating useless portfolios in constrained financial economies
• Asset pricing with jump/diffusion permanent income shocks
• MIT shocks imply market incompleteness
• Incomplete markets and volatility

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