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21
fév
2023
De 11h à 12h
Lemma - Salle Maurice Desplas (4 rue Blaise Desgoffe, 75006 Paris)
Séminaire du LEMMA

Jean-Philippe LEFORT (Universtié Dauphine)

Abstract:

We develop an asset pricing model by absence of arbitrage. We generalize  the classic model by taking into account the existence of frictions. In particular, we relax the monotonicity assumption which is justified both theoretically and empirically. Thus, we obtain two classes of pricing rules. Under Put-Call Parity, we get a Choquet pricing rule with a non-monotonic set function. Under subadditivity, we get a Multiple Priors pricing rule which takes the form of the maximum of signed probability measures. Finally, we offer a parametrical class of Choquet pricing rules which are tractable.

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Plan d'accès

Lemma - Salle Maurice Desplas (4 rue Blaise Desgoffe, 75006 Paris)
Adress carte: 
POINT (2.3242849 48.8459838)
Adresse : LEMMA, 4 rue Blaise Desgoffe 75006 Paris