Dynamic asset pricing theory with uncertain time-horizon

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• 作者：Christophette Blanchet-Scalliet ; Nicole El Karoui and Lionel Martellini
• 关键词：Asset pricing ; Uncertain time-horizon ; Random time ; Incomplete markets
• 刊名：Journal of Economic Dynamics and Control
• 出版年：2005
• 出版时间：2005
• 年：2005
• 卷：29
• 期：10
• 页码：1737-1764
• 全文大小：364 K

文摘

This paper addresses the problem of pricing and hedging a random cash-flow received at a random date. In a general setup with a random time that is not a stopping time of the filtration generated by asset prices, we first provide an explicit characterization of the set of equivalent martingale measures. We also present price bounds consistent with perfect replication in the absence of arbitrage. As is often the case, such bounds are too wide to be of any practical use and we consider several choices for narrowing down to one the number of equivalent martingale measures.