A Multiperiod Equilibrium Pricing Model
Joint Authors
Zhang, Huayue
Pirvu, Traian A.
Kwak, Minsuk
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-05
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract EN
We propose an equilibrium pricing model in a dynamic multiperiod stochastic framework with uncertain income.
There are one tradable risky asset (stock/commodity), one nontradable underlying (temperature), and also a contingent claim (weather derivative) written on the tradable risky asset and the nontradable underlying in the market.
The price of the contingent claim is priced in equilibrium by optimal strategies of representative agent and market clearing condition.
The risk preferences are of exponential type with a stochastic coefficient of risk aversion.
Both subgame perfect strategy and naive strategy are considered and the corresponding equilibrium prices are derived.
From the numerical result we examine how the equilibrium prices vary in response to changes in model parameters and highlight the importance of our equilibrium pricing principle.
American Psychological Association (APA)
Kwak, Minsuk& Pirvu, Traian A.& Zhang, Huayue. 2014. A Multiperiod Equilibrium Pricing Model. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-14.
https://search.emarefa.net/detail/BIM-469819
Modern Language Association (MLA)
Kwak, Minsuk…[et al.]. A Multiperiod Equilibrium Pricing Model. Journal of Applied Mathematics No. 2014 (2014), pp.1-14.
https://search.emarefa.net/detail/BIM-469819
American Medical Association (AMA)
Kwak, Minsuk& Pirvu, Traian A.& Zhang, Huayue. A Multiperiod Equilibrium Pricing Model. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-14.
https://search.emarefa.net/detail/BIM-469819
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-469819