Incomplete Financial Markets and Jumps in Asset Prices

A dynamic pure-exchange general equilibrium model with uncertainty is studied. Fundamentals are supposed to depend continuously on states of nature. It is shown that: 1. if financial markets are complete, then asset prices vary continuously with states of nature, and; 2. if financial markets are incomplete, jumps in asset prices may be unavoidable. Consequently incomplete financial markets may increase volatility in asset prices significantly

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Year of publication:	2009
Authors:	Cres, Hervé
Other Persons:	Markeprand, Tobias (contributor) ; Tvede, Mich (contributor)
Publisher:	[2009]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Finanzmarkt \| Financial market \| Unvollkommener Markt \| Incomplete market \| Kapitaleinkommen \| Capital income \| Allgemeines Gleichgewicht \| General equilibrium \| Volatilität \| Volatility

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Extent:	1 Online-Ressource (18 p)
Series:	University of Copenhagen Department of Economics Discussion Paper ; No. 09-12
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 23, 2009 erstellt
Other identifiers:	10.2139/ssrn.1438032 [DOI]
Classification:	D52 - Incomplete Markets ; D53 - Financial Markets ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013157819