This paper deals with market models where there is no compatible positive state price density.

An agent's optimization problem of the expected terminal wealth utility in a trinomial tree economy is solved. At each transaction date, the agent can trade in a riskless asset, a primitive asset subject to constant proportional transaction costs, and a contingent claim characterized by some...

This paper investigates necessary conditions for an equilibrium to exist on a reinsurance market with short sale constraints. It establishes that, equilibrium, there exists an equivalent probability measure under which the reinsurance premium is the compensator of the jump process describing the...

Ce travail est constitue de deux parties. Dans un premier temp, nous etudions un modele ou les actifs sont des projets d'investissements decrits par leurs flux. Ceux-ci sont modelises par des processus stochastiques dont la dynamique est decrite par un arbre binomial. Les investissements ont la...

In this paper, we characterize subjective probability beliefs leading to a higher equilibrium market price of risk. We establish that Abel's result on the impact of doubt on the risk premium is not correct in general; see Abel [2002. An exploration of the effects of pessimism and doubt on asset...

Under some minimal assumptions on the price functional, we prove that the prices of the contingent claim are necessarily in some minimal interval.