>
Fa   |   Ar   |   En
   A multiperiod equilibrium pricing model  
   
نویسنده kwak m. ,pirvu t.a. ,zhang h.
منبع journal of applied mathematics - 2014 - دوره : 2014 - شماره : 0
چکیده    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. © 2014 minsuk kwak et al.
آدرس department of mathematics and statistics,mcmaster university,1280 main street west,hamilton, Canada, department of mathematics and statistics,mcmaster university,1280 main street west,hamilton, Canada, department of finance,nankai university,94 weijin road, China
 
     
   
Authors
  
 
 

Copyright 2023
Islamic World Science Citation Center
All Rights Reserved