The Comparative Statics of Equilibrium Derivative Prices

We examine the conditions for preferences and risks that guarantee monotonicity of equilibrium derivative prices. In a Lucas economy with a derivative, we derive the equilibrium derivative price under expectation with respect to risk-neutral probability, and analyze comparative statics on the equilibrium derivative price based on the risk-neutral probability.

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Year of publication:	2004-11
Authors:	Ohnishi, Masamitsu ; Osaki, Yusuke
Institutions:	Graduate School of Economics, Osaka University
Subject:	Equilibrium Derivative Price \| First-order Stochastic Dominance \| Noise Risk \| Risk-Neutral Probability

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Extent:	application/pdf
Series:	Discussion Papers in Economics and Business.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 04-19 13 pages
Classification:	C65 - Miscellaneous Mathematical Tools ; D51 - Exchange and Production Economies ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005773268