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Conference Proceedings (2004), Proceedings of the 21st International Conference in Finance - AFFI², Association Française de Finance (AFFI)

General Equilibrium Pricing of CPI's Derivatives

Lioui A., PONCET Patrice

We build the general equilibrium of a continuous time monetary economy that is affected by both real and nominal shocks. The price level and inflation rate are found endogenously and solutions for the price of CPI derivatives are obtained, which are in closed form in a special case.

LIOUI, A. and PONCET, P. (2004). General Equilibrium Pricing of CPI's Derivatives. In: Proceedings of the 21st International Conference in Finance - AFFI². Association Française de Finance (AFFI).