On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets

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dc.creatorAnthropelos, Michail
dc.creatorZitkovic, Gordan
dc.date2008-03-14
dc.date.accessioned2026-07-07T12:05:44Z
dc.date.available2026-07-07T12:05:44Z
dc.descriptionWe consider two risk-averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assumption that the agents are exponential utility maximizers with non-traded random endowments, we provide necessary and sufficient conditions for negotiation to be successful, i.e., for the trade to occur. We also study the asymptotic case where the size of the claim is small compared to the random endowments and we give a full characterization in this case. Finally, we study a partial-equilibrium problem for a bundle of divisible claims and establish existence and uniqueness. A number of technical results on conditional indifference prices are provided.
dc.identifierhttps://arxiv.org/abs/0803.2198
dc.identifierhttp://arxiv.org/abs/0803.2198
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208455
dc.subjectPricing of Securities
dc.subjectOptimization and Control
dc.subjectProbability
dc.subjectTrading and Market Microstructure
dc.subject91B70
dc.titleOn Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets
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