Browsing by Keyword "Pricing rule"

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    • Financial market structures revealed by pricing rules: Efficient complete markets are prevalent 

      Araújo, Aloísio Pessoa de; Chateauneuf, Alain Jacques; Faro, José Heleno
      2018
      It is well known that when an arbitrage-free financial market is incomplete or has tradable financial assets with frictions there must be multiple risk-neutral probability measures. The main motivation for the present study ...

    • Pricing rules and Arrow-Debreu ambiguous valuation 

      Araújo, Aloísio Pessoa de; Chateauneuf, Alain; Faro, José Heleno
      2012
      This 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 ...