| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5489 |
| 来源ID | Working Paper 5489 |
| Beyond Arbitrage: \"Good-Deal\" Asset Price Bounds in Incomplete Markets | |
| John H. Cochrane; Jesus Saa-Requejo | |
| 发表日期 | 1996-03-01 |
| 出版年 | 1996 |
| 语种 | 英语 |
| 摘要 | It is often useful to price assets and other random payoffs by reference to other observed prices rather than construct full-fledged economic asset pricing models. This approach breaks down if one cannot find a perfect replicating portfolio. We impose weak economic restrictions to derive usefully tight bounds on asset prices in this situation. The bounds basically rule out high Sharpe ratios - `good deals' - as well as arbitrage opportunities. We present the method of calculation, we extend it to a multiperiod context by finding a recursive solution, and we apply it to option pricing examples including the Black-Scholes setup with infrequent trading, and a model with stochastic stock volatility and a varying riskfree rate. |
| URL | https://www.nber.org/papers/w5489 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562952 |
| 推荐引用方式 GB/T 7714 | John H. Cochrane,Jesus Saa-Requejo. Beyond Arbitrage: \"Good-Deal\" Asset Price Bounds in Incomplete Markets. 1996. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5489.pdf（800KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
