Updating Pricing Rules
dc.contributor.author | Araujo, Aloisio | |
dc.contributor.author | Chateauneuf, Alain | |
dc.contributor.author | JOSÉ HELENO FARO | |
dc.contributor.author | Holanda, Bruno | |
dc.coverage.cidade | São Paulo | pt_BR |
dc.coverage.pais | Brasil | pt_BR |
dc.creator | Araujo, Aloisio | |
dc.creator | Chateauneuf, Alain | |
dc.creator | Holanda, Bruno | |
dc.date.accessioned | 2023-07-20T14:49:22Z | |
dc.date.available | 2023-07-20T14:49:22Z | |
dc.date.issued | 2016 | |
dc.description.abstract | This 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.other | This 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.extent | 26 p. | pt_BR |
dc.format.medium | Digital | pt_BR |
dc.identifier.issue | BEWP 223/2016 | |
dc.identifier.uri | https://repositorio.insper.edu.br/handle/11224/5890 | |
dc.language.iso | Inglês | pt_BR |
dc.publisher | Insper | pt_BR |
dc.relation.ispartofseries | Insper Working Paper | pt_BR |
dc.rights.license | O 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 EDITOR | pt_BR |
dc.subject.keywords | Pricing rules | pt_BR |
dc.subject.keywords | Full Bayesian Update | pt_BR |
dc.subject.keywords | Ambiguity | pt_BR |
dc.subject.keywords | Frictionless incomplete market | pt_BR |
dc.subject.keywords | Uniform bid-ask spreads | pt_BR |
dc.title | Updating Pricing Rules | pt_BR |
dc.type | working paper | |
dspace.entity.type | Publication | |
local.subject.cnpq | Ciências Exatas e da Terra | pt_BR |
local.type | Working Paper | pt_BR |
relation.isAuthorOfPublication | 6f68f2a4-9e10-4c94-a5e8-62ba771c81d7 | |
relation.isAuthorOfPublication.latestForDiscovery | 6f68f2a4-9e10-4c94-a5e8-62ba771c81d7 |
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