Araujo, Aloisio
[Verfasser:in]
;
Chateauneuf, Alain
[Sonstige Person, Familie und Körperschaft];
Faro, José Heleno
[Sonstige Person, Familie und Körperschaft]
Pricing Rules and Arrow Debreu Ambiguous Valuation
Anmerkungen:
In: Economic Theory, Vol. 49, No. 1, 2012
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 20, 2010 erstellt
Beschreibung:
This paper considers pricing rules of single-period securities markets with finitely many states and without arbitrage opportunities. Our main result characterize those pricing rules C that are super-replication prices of a frictionless incomplete asset structure. This characterization relies on the equivalence between the sets of frictionless securities and undominated securities priced by C. The former captures securities without bid-ask spreads while the second captures the class of securities where, if some of its delivers is replaced by a higher payoff, then the resulting security is characterized by a higher value priced by C. We also analyze the special case of pricing rules revealing securities markets admitting a structure of basic assets paying one in some event and nothing otherwise. In this case we show that any security can be priced against a capacity. This risk-neutral capacity, or Arrow-Debreu ambiguous state price, can be viewed as a generalization for incomplete markets of Arrow Debreu price valuation, and the corresponding pricing rule is determined by an integral w.r.t. a subadditive capacity. For instance, a special class of Choquet integral is related to frictionless incomplete markets of Arrow securities and a riskless asset