The no-arbitrage pricing of non-traded assets

DOI10.1007/S10436-023-00434-1MaRDI QIDQ6076760zbMATH OpenOpenAlexFDO

Authors Robert A. Jarrow

Publication date 22 September 2023

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-023-00434-1

zbMATH Keywords

arbitrage pricingidiosyncratic riskinsurance contractsnon-traded assetsprivate debtprivate equityreal estatereal options

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

• Arbitrage pricing in non-Walrasian financial markets
• Pricing without no-arbitrage condition in discrete time
• Pricing a nontradeable asset and its derivatives.
• ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE
• Comonotonic asset prices in arbitrage-free markets
• Pricing by hedging and no-arbitrage beyond semimartingales
• scientific article; zbMATH DE number 2133109
• scientific article; zbMATH DE number 1487969
• Arbitrage-free pricing of derivatives in nonlinear market models
• Nonequilibrium geometric no-arbitrage principle and asset pricing theorem

Cites work

• Continuous-time asset pricing theory. A martingale-based approach
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
• Option pricing when underlying stock returns are discontinuous

Cited in

(5)

• Tax liens: a novel application of asset pricing theory
• Risk-adjusted value allocation for (non-traded) assets with performance ratios
• THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS
• No Arbitrage Theory for Bond Markets
• Dynamic valuation of options on non-traded assets and trading strategies

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