{
  "id": "1205.6193",
  "version": "v1",
  "published": "2012-05-28T19:34:44.000Z",
  "updated": "2012-05-28T19:34:44.000Z",
  "title": "A Multi Period Equilibrium Pricing Model",
  "authors": [
    "Traian A. Pirvu",
    "Huayue Zhang"
  ],
  "categories": [
    "math.OC",
    "q-fin.TR"
  ],
  "abstract": "In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative) and a non-traded underlying (e.g. temperature). The risk preferences are of exponential (CARA) type with a stochastic coefficient of risk aversion. Both time consistent and time inconsistent trading strategies are considered. We obtain the equilibriums prices of a contingent claim written on the risky asset and non-traded underlying. By running numerical experiments we examine how the equilibriums prices vary in response to changes in model parameters.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2012-05-28T19:34:44.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "multi period equilibrium pricing model",
      "dynamic multi-period stochastic framework",
      "risky asset",
      "uncertain income streams",
      "time inconsistent trading strategies"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2012arXiv1205.6193P"
    }
  }
}