English, Article, Journal or magazine article edition: Incomplete Financial Markets and Jumps in Asset Prices Hervé Crès; Tobias Markeprand; Mich Tvede

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Bookmark: http://trove.nla.gov.au/version/211656
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Incomplete Financial Markets and Jumps in Asset Prices
Author
  • Hervé Crès
  • Tobias Markeprand
  • Mich Tvede
Physical Description
  • preprint
Notes
  • 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.
  • general equilibrium; financial markets; jumps in asset prices
  • RePEc:kud:kuiedp:0912
Language
  • English
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