Philip Protter - Issues of Incomplete Markets

Philip Protter - Issues of Incomplete Markets

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Oct 16, 2017, 03:30 PM - 05:00 PM | 3108 Etcheverry Hall | Happening As Scheduled
Philip Protter, Columbia University
Abstract: In a complete market, there is a unique risk neutral measure, unique prices, and all contingent claims can be (at least theoretically) perfectly hedged. In an incomplete market, in contrast, there is an infinite number of risk neutral measures, a continuum of “fair” prices, and contingent claims can in general not be perfectly hedged, even theoretically. Unfortunately, there seems to be...