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Equilibrium pricing and market completion: a counterexample

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.
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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

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Elyes Jouini. Equilibrium pricing and market completion: a counterexample. Economics Bulletin, Economics Bulletin, 2020, 40 (3), pp.1963-+. ⟨halshs-03048797⟩

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