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Working Papers (1998), ESSEC Business School

Pricing Content Claims in Incomplete Markets Using the Numeraire Portfolio

PORTAIT Roland , BAJEUX-BESNAINOU I.

Under incomplete markets state price deflators and arbitrage free prices are not unique. We use the attributs of the growth optimal portfolio (numeraire portfolio) to characterize the set of possible arbitrage free prices for new redundant and non redundant securities and use the minimax local martingale to characterize the equilibrium prices.

PORTAIT, R. and BAJEUX-BESNAINOU, I. (1998). Pricing Content Claims in Incomplete Markets Using the Numeraire Portfolio. ESSEC Business School.