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dc.contributor.authorCheridito, Patricken
dc.contributor.authorHorst, Ulrichen
dc.contributor.authorKupper, Michaelen
dc.contributor.authorPirvu, Traian A.en
dc.date.accessioned2011-11-29-
dc.date.accessioned2012-04-05T16:15:42Z-
dc.date.available2012-04-05T16:15:42Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/56666-
dc.description.abstractWe provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In the special case where all agents have preferences of the same type and all random endowments are replicable by trading in the financial market we show that a one-fund theorem holds and give an explicit expression for the equilibrium pricing kernel. If the underlying noise is generated by finitely many Bernoulli random walks, the equilibrium dynamics can be described by a system of coupled backward stochastic difference equations, which in the continuous-time limit becomes a multi-dimensional backward stochastic differential equation. If the market is complete in equilibrium, the system of equations decouples, but if not, one needs to keep track of the prices and continuation values of all agents to solve it. As an example we simulate option prices in the presence of stochastic volatility, demand pressure and short-selling constraints.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2011-083en
dc.subject.jelC62en
dc.subject.jelD52en
dc.subject.jelD53en
dc.subject.ddc330en
dc.subject.keywordcompetitive equilibriumen
dc.subject.keywordincomplete marketsen
dc.subject.keywordheterogenous agentsen
dc.subject.keywordtrading constraintsen
dc.subject.keywordbackward stochastic difference equationsen
dc.subject.stwOptionspreistheorieen
dc.subject.stwKapitalmarkttheorieen
dc.subject.stwUnvollkommener Markten
dc.subject.stwWertpapierhandelen
dc.subject.stwGleichgewichten
dc.subject.stwAnalysisen
dc.subject.stwStochastischer Prozessen
dc.subject.stwTheorieen
dc.titleEquilibrium pricing in incomplete markets under translation invariant preferences-
dc.typeWorking Paperen
dc.identifier.ppn675479959en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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