Arbitrage pricing in non-Walrasian financial markets

DOI10.1007/s00199-017-1074-8zbMath1422.91686OpenAlexW2754452580MaRDI QIDQ2323574

Andrés Carvajal

Publication date: 3 September 2019

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00199-017-1074-8

zbMATH Keywords

arbitrage pricingderivative pricingstrategic market gamesnon-competitive behavior

Mathematics Subject Classification ID

Applications of game theory (91A80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

The effect of market power on risk-sharing

Cites Work

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• No-arbitrage, state prices and trade in thin financial markets
• Endogenous market power
• A general equilibrium analysis of strategic arbitrage
• Atomic Cournotian traders may be Walrasian
• Cournot-Walras equilibrium as a subgame perfect equilibrium
• Non-Walrasian equilibria and the law of one price
• Arbitrage and equilibrium in strategic security markets
• A battle of informed traders and the market game foundations for rational expectations equilibrium
• Informed Speculation with Imperfect Competition
• Nash Equilibrium and the Industrial Organization of Markets with Large Fixed Costs
• Imperfect Competition in a Multi-Security Market with Risk Neutrality
• Information in Securities Markets: Kyle Meets Glosten and Milgrom

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