Semi-equilibrium Pricing: The CAPM Formula

2021 ◽  
Author(s):  
Pharos Abad
Keyword(s):  
Equilibrium Pricing

To Pool or Not to Pool: Equilibrium, Pricing and Regulation

2019 ◽  
Author(s):  
Kenan Zhang ◽  
Marco Nie
Keyword(s):  
Equilibrium Pricing

General Equilibrium Pricing of CPI's Derivatives

2003 ◽  
Author(s):  
Abraham Lioui ◽  
Patrice Poncet
Keyword(s):  
General Equilibrium ◽  
Equilibrium Pricing

Herd Behaviour: How Decisive is the Noise in the NSE and BSE Stock Markets?

2016 ◽  
Vol 6 (1) ◽  
Author(s):  
Paritosh Chandra Sinha
Keyword(s):  
Behavioral Finance ◽  
Stock Markets ◽  
High Frequency ◽  
Stock Exchange ◽  
Time Stamp ◽  
Trade Volume ◽  
Herding Behavior ◽  
Equilibrium Pricing ◽  
Indian Context ◽  
Herd Behaviour

Do investors in the stock markets act/react on true information or noise? Do they believe on their own information or simply herd? The study seeks to explore these typical research queries from the behavioral finance perspectives. In particular, it develops a new theory of herding behavior and extends the models of Banerjee (1992) and Bikhchandani, Hirshleifer, and Welch (1992). The study also empirically tests the same on the Indian context with the high frequency intraday trading data for the real trade-time or time-stamp, trade-volume, and trade-price of ten sample scripts listed for their trading in both markets - the Bombay Stock Exchange (BSE) and the National stock Exchange (NSE). The study contributes to the literature with original findings. It shows that investors in the two Indian stock markets show crowd of positive and negative herding as well significantly and there is huge noise along with information in the markets equilibrium pricing mechanism.

scholarly journals Equilibrium Pricing in Incomplete Markets

2005 ◽  
Vol 40 (4) ◽  
pp. 833-848 ◽  
Author(s):  
Abdelhamid Bizid ◽  
Elyès Jouini
Keyword(s):  
Stochastic Volatility ◽  
Incomplete Markets ◽  
Stochastic Volatility Model ◽  
Time Model ◽  
Equilibrium Pricing ◽  
Discrete Time Model ◽  
Price Process ◽  
State Price ◽  
Volatility Model ◽  
Market Framework

AbstractGiven the exogenous price process of some assets, we constrain the price process of other assets that are characterized by their final payoffs. We deal with an incomplete market framework in a discrete-time model and assume the existence of the equilibrium. In this setup, we derive restrictions on the state-price deflators. These restrictions do not depend on a particular choice of utility function. We investigate numerically a stochastic volatility model as an example. Our approach leads to an interval of admissible prices that is more robust than the arbitrage pricing interval.

Equilibrium Pricing under Concave Advertising Costs

2021 ◽  
Author(s):  
Klaus Kultti ◽  
Teemu Pekkarinen
Keyword(s):  
Equilibrium Pricing

A Note on Equilibrium Pricing as Convex Optimization

2007 ◽  
pp. 7-16 ◽  
Author(s):  
Lihua Chen ◽  
Yinyu Ye ◽  
Jiawei Zhang
Keyword(s):  
Convex Optimization ◽  
Equilibrium Pricing

Pricing Chinese Rain: A Multisite Multi-Period Equilibrium Pricing Model for Rainfall Derivatives

2011 ◽  
Author(s):  
Wolfgang K. HHrdle ◽  
Maria Osipenko
Keyword(s):  
Pricing Model ◽  
Equilibrium Pricing

Pension Fund Real Estate Investment Under a Simple Equilibrium Pricing Model

1991 ◽  
Vol 47 (3) ◽  
pp. 20-30 ◽  
Author(s):  
Richard M. Ennis ◽  
Paul Burik
Keyword(s):  
Real Estate ◽  
Pension Fund ◽  
Pricing Model ◽  
Real Estate Investment ◽  
Equilibrium Pricing
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