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Discussion Papers, SFB 373, HU Berlin >
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http://hdl.handle.net/10419/62771
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| Title: | | A benchmark model for financial markets  |
| Authors: | | Platen, Eckhard |
| Issue Date: | | 2001 |
| Series/Report no.: | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,52 |
| Abstract: | | This paper introduces a benchmark model for financial markets, which is based on the unique characterization of a benchmark portfolio that is chosen to be the growth optimal portfolio. The general structure of risk premia for asset prices and portfolios is derived. Furthermore, the short rate is obtained as an average of appreciation rates. The benchmark model is shown to be locally arbitrage free, however, it still permits some form of arbitrage. Finally, a subclass of arbitrage free contingent claim prices is derived. |
| Subjects: | | financial market model contingent claim pricing benchmark model growth optimal portfolio arbitrage amount |
| JEL: | | G10 G13 |
| Persistent Identifier of the first edition: | | urn:nbn:de:kobv:11-10050040 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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