Pricing rules and arrow – debreu ambiguous valuation

dc.contributor.authorAraujo, Aloisio
dc.contributor.authorChateauneuf, Alain
dc.contributor.authorJOSÉ HELENO FARO
dc.coverage.cidadeNão informadopt_BR
dc.coverage.paisNão Informadopt_BR
dc.creatorAraujo, Aloisio
dc.creatorChateauneuf, Alain
dc.date.accessioned2022-08-13T13:03:52Z
dc.date.available2022-08-13T13:03:52Z
dc.date.issued2012
dc.description.abstractThis paper considers pricing rules of single-period securities markets with finitely many states. Our main result characterizes those pricing rules C that are super-replication prices of a frictionless and arbitrage-free incomplete asset structure with a bond. This characterization relies on the equivalence between the sets of frictionless securities and securities priced by C. The former captures securities without bid-ask spreads, while the second captures the class of securities where, if some of its delivers is replaced by a higher payoff, then the resulting security is characterized by a higher value priced by C. We also analyze the special case of pricing rules associated with securities markets admitting a structure of basic assets paying one in some event and nothing otherwise. In this case, we show that the pricing rule can be characterized in terms of capacities. This Arrow–Debreu ambiguous state price can be viewed as a generalization for incomplete markets of Arrow–Debreu state price valuation. Also, some interesting cases are given by pricing rules determined by an integral w.r.t. a risk-neutral capacity. For instance, incomplete markets of Arrow securities and a bond are revealed by a Choquet integral w.r.t. a special risk-neutral capacity.pt_BR
dc.format.extentp. 1-35pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doi10.1007/s00199-011-0660-4pt_BR
dc.identifier.issn14320479pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/3973
dc.identifier.volume49pt_BR
dc.language.isoInglêspt_BR
dc.publisherSpringerpt_BR
dc.relation.ispartofEconomic Theorypt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subjectPricing rulept_BR
dc.subjectFrictionless incomplete marketpt_BR
dc.subjectAmbiguitypt_BR
dc.subjectState pricept_BR
dc.subjectCapacitypt_BR
dc.subjectLehrer integralpt_BR
dc.subjectChoquet integralpt_BR
dc.titlePricing rules and arrow – debreu ambiguous valuationpt_BR
dc.typejournal article
dspace.entity.typePublication
local.identifier.sourceUrihttps://link.springer.com/article/10.1007/s00199-011-0660-4
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublication6f68f2a4-9e10-4c94-a5e8-62ba771c81d7
relation.isAuthorOfPublication.latestForDiscovery6f68f2a4-9e10-4c94-a5e8-62ba771c81d7

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