Equilibrium Pricing in Incomplete Markets
在离散时间不完全市场框架下，给定部分资产的外生价格过程，推导出状态价格折现因子的约束条件，从而得到其他资产的可接受价格区间，该区间比无套利定价区间更稳健。
Abstract Given the exogenous price process of some assets, we constrain the price process of other assets that are characterized by their final payoffs. We deal with an incomplete market framework in a discrete-time model and assume the existence of the equilibrium. In this setup, we derive restrictions on the state-price deflators. These restrictions do not depend on a particular choice of utility function. We investigate numerically a stochastic volatility model as an example. Our approach leads to an interval of admissible prices that is more robust than the arbitrage pricing interval.