Incomplete financial markets and jumps in asset prices

DOI10.1007/S00199-015-0884-9zbMATH Open1367.91106OpenAlexW1489953298MaRDI QIDQ324352FDOQ324352

Tobias Markeprand, Hervé Crès, 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

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zbMATH Keywords

general equilibriumfinancial marketsjumps in asset prices

Mathematics Subject Classification ID

General equilibrium theory (91B50)

Cites Work

• Option pricing when underlying stock returns are discontinuous
• Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
• Multiplicity of equilibria
• Effectively complete equilibria -- A note
• Indeterminacy in incomplete market economies
• Smooth infinite economies
• Generic inefficiency of equilibria in the general equilibrium model with incomplete asset markets and infinite time
• The existence of security market equilibrium with a non-atomic state space
• Multifrequency jump-diffusions: An equilibrium approach
• Excess price volatility and financial innovation
• Regular Infinite Economies
• INFINITE HORIZON INCOMPLETE MARKETS WITH A CONTINUUM OF STATES
• Title not available (Why is that?)
• Incomplete markets and volatility
• Consumption dynamics in general equilibrium: a characterisation when markets are incomplete

Cited In (4)

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

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