Incomplete Financial Markets and Jumps in Asset Prices

Publikation: Working paper › Forskning

Standard

Incomplete Financial Markets and Jumps in Asset Prices. / Crès, Hervé; Markeprand, Tobias Ejnar; Tvede, Mich.

Department of Economics, University of Copenhagen, 2009.

Publikation: Working paper › Forskning

Harvard

Crès, H, Markeprand, TE & Tvede, M 2009 'Incomplete Financial Markets and Jumps in Asset Prices' Department of Economics, University of Copenhagen.

APA

Crès, H., Markeprand, T. E., & Tvede, M. (2009). Incomplete Financial Markets and Jumps in Asset Prices. Department of Economics, University of Copenhagen.

Vancouver

Crès H, Markeprand TE, Tvede M. Incomplete Financial Markets and Jumps in Asset Prices. Department of Economics, University of Copenhagen. 2009.

Author

Crès, Hervé ; Markeprand, Tobias Ejnar ; Tvede, Mich. / Incomplete Financial Markets and Jumps in Asset Prices. Department of Economics, University of Copenhagen, 2009.

Bibtex

@techreport{e1a52d907da811de8bc9000ea68e967b,
title = "Incomplete Financial Markets and Jumps in Asset Prices",
abstract = "A dynamic pure-exchange general equilibrium model with uncertainty is studied. Fundamentals are supposed to depend continuously on states of nature. It is shown that: 1. if financial markets are complete, then asset prices vary continuously with states of nature, and; 2. if financial markets are incomplete, jumps in asset prices may be unavoidable. Consequently incomplete financial markets may increase volatility in asset prices significantly.",
author = "Herv{\'e} Cr{\`e}s and Markeprand, {Tobias Ejnar} and Mich Tvede",
note = "JEL classification: D52, D53, G12",
year = "2009",
language = "English",
publisher = "Department of Economics, University of Copenhagen",
address = "Denmark",
type = "WorkingPaper",
institution = "Department of Economics, University of Copenhagen",

}

RIS

TY - UNPB

T1 - Incomplete Financial Markets and Jumps in Asset Prices

AU - Crès, Hervé

AU - Markeprand, Tobias Ejnar

AU - Tvede, Mich

N1 - JEL classification: D52, D53, G12

PY - 2009

Y1 - 2009

N2 - A dynamic pure-exchange general equilibrium model with uncertainty is studied. Fundamentals are supposed to depend continuously on states of nature. It is shown that: 1. if financial markets are complete, then asset prices vary continuously with states of nature, and; 2. if financial markets are incomplete, jumps in asset prices may be unavoidable. Consequently incomplete financial markets may increase volatility in asset prices significantly.

AB - A dynamic pure-exchange general equilibrium model with uncertainty is studied. Fundamentals are supposed to depend continuously on states of nature. It is shown that: 1. if financial markets are complete, then asset prices vary continuously with states of nature, and; 2. if financial markets are incomplete, jumps in asset prices may be unavoidable. Consequently incomplete financial markets may increase volatility in asset prices significantly.

M3 - Working paper

BT - Incomplete Financial Markets and Jumps in Asset Prices

PB - Department of Economics, University of Copenhagen

ER -

ID: 13458285