Updating Pricing Rules

dc.contributor.authorAraujo, Aloisio
dc.contributor.authorChateauneuf, Alain
dc.contributor.authorJOSÉ HELENO FARO
dc.contributor.authorHolanda, Bruno
dc.coverage.cidadeSão Paulopt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorAraujo, Aloisio
dc.creatorChateauneuf, Alain
dc.creatorHolanda, Bruno
dc.date.accessioned2023-07-20T14:49:22Z
dc.date.available2023-07-20T14:49:22Z
dc.date.issued2016
dc.description.abstractThis paper studies the problem of updating the super-replication prices of na arbitrage-free market in a multiperiod setting. We introduce a set of standard properties and a (weak) version of Dynamic Consistency to characterize the updated pricing rules by the Full Bayesian Rule. Since different pricing rules are related to different kinds of frictions on the financial markets, this study allow us to analyze the evolution of the market structure when new informations are revealed. We also provide a geometric characterization for the pricing rules that characterizes frictionless incomplete markets. This geometric property is useful to demonstrate that the incomplete frictionless market structure is invariant under updating when a non trivial updating condition between the set of risk-neutral measures and revealed information is present.
dc.description.otherThis paper studies the problem of updating the super-replication prices of an arbitrage-free market in a multiperiod setting. We introduce a set of standard properties and a (weak) version of Dynamic Consistency to characterize the updated pricing rules by the Full Bayesian Rule. Since different pricing rules are related to different kinds of frictions on the financial markets, this study allow us to analyze the evolution of the market structure when new informations are revealed. We also provide a geometric characterization for the pricing rules that characterizes frictionless incomplete markets. This geometric property is useful to demonstrate that the incomplete frictionless market structure is invariant under updating when a non trivial updating condition between the set of risk-neutral measures and revealed information is present.pt_BR
dc.format.extent26 p.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.issueBEWP 223/2016
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5890
dc.language.isoInglêspt_BR
dc.publisherInsperpt_BR
dc.relation.ispartofseriesInsper Working Paperpt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsPricing rulespt_BR
dc.subject.keywordsFull Bayesian Updatept_BR
dc.subject.keywordsAmbiguitypt_BR
dc.subject.keywordsFrictionless incomplete marketpt_BR
dc.subject.keywordsUniform bid-ask spreadspt_BR
dc.titleUpdating Pricing Rulespt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Exatas e da Terrapt_BR
local.typeWorking Paperpt_BR
relation.isAuthorOfPublication6f68f2a4-9e10-4c94-a5e8-62ba771c81d7
relation.isAuthorOfPublication.latestForDiscovery6f68f2a4-9e10-4c94-a5e8-62ba771c81d7

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