Updating pricing rules

dc.contributor.authorAraujo, Aloisio
dc.contributor.authorChateauneuf, Alain
dc.contributor.authorJOSÉ HELENO FARO
dc.contributor.authorHolanda, Bruno
dc.coverage.cidadeNão informadopt_BR
dc.coverage.paisNão Informadopt_BR
dc.creatorAraujo, Aloisio
dc.creatorChateauneuf, Alain
dc.creatorHolanda, Bruno
dc.date.accessioned2022-08-18T17:13:03Z
dc.date.available2022-08-18T17:13:03Z
dc.date.issued2018
dc.description.otherThis paper studies the problem of updating the super-replication prices of arbitrage-free finite financial markets with a frictionless bond. Any super-replication price is a pricing rule represented as the support function of some polytope of probabilities containing at least one strict positive probability, which captures the closure of the set of risk-neutral probabilities of any underlying market consistent with the given pricing rule. We show that a weak form of dynamic consistency characterizes the full (prior-by-prior) Bayesian updating of pricing rules. In order to study the problem of updating pricing rules revealing incomplete markets without frictions on all tradable securities, we first show that the corresponding polytope of probabilities must be non-expansible. We find that the full Bayesian updating does not preserve non-expansibility, unless a condition of non-trivial updating is satisfied. Finally, we show that the full Bayesian updating of pricing rules of efficient complete markets is completely stable. We also show that efficient complete markets with uniform bid–ask spreads are stable under full Bayesian updating, while efficient complete markets that fulfill the put–call parity are stable only under a Choquet pricing rule computed with respect to a regular concave nonadditive risk-neutral probability.pt_BR
dc.format.extentp. 335–361pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doihttps://doi.org/10.1007/s00199-018-1125-9pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4040
dc.identifier.volume68pt_BR
dc.language.isoInglêspt_BR
dc.publisherSpringerpt_BR
dc.relation.ispartofEconomic Theorypt_BR
dc.relation.urihttps://link.springer.com/article/10.1007/s00199-018-1125-9pt_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 EDITOR.pt_BR
dc.subject.keywordsPricing rulespt_BR
dc.subject.keywordsFull Bayesian updatept_BR
dc.subject.keywordsIncomplete marketspt_BR
dc.subject.keywordsEfficient complete marketspt_BR
dc.subject.keywordsBid–ask spreadspt_BR
dc.titleUpdating pricing rulespt_BR
dc.typejournal article
dspace.entity.typePublication
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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