Abstract : In both arbitrage and utility pricing approaches, the fictitious completion appears as a powerful tool that permits to extend complete markets results to an incomplete markets framework. Does this technique permit to characterize the equilibrium pricing interval? This note provides a negative answer.
https://halshs.archives-ouvertes.fr/halshs-03048797
Contributor : Elyes Jouini <>
Submitted on : Wednesday, December 9, 2020 - 3:27:27 PM Last modification on : Tuesday, January 19, 2021 - 11:09:09 AM