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L'hypothèse de marchés financiers complets et l'évaluation des options

Published online by Cambridge University Press:  17 August 2016

Catherine Rouzaud
Catherine Rouzaud*
Affiliation:
Université de Paris XII
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Résumé

Cet article cherche à expliciter la signification et le rôle de l'hypothèse de marchés financiers complets dans les modèles d'évaluation des options. Son objectif est de manifester la force et la nécessité des hypothèses faites dans ce type de modèles sur l'évolution du prix de l'actif de référence.

Summary

Summary

This paper tries to make explicit the meaning and the role of the hypothesis of complete financial markets in the options pricing models. Its purpose is to show the strength and importance of the assumptions made about the price process of the underlying asset in these models.

Keywords

026313026313
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 59 , Issue 3 , 1993 , pp. 327 - 353
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1993 

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Footnotes

*

Je remercie David Cass, Christian Gourieroux, Bernard Dumas et Darrell Duffie des conversations très utiles que j'ai pu avoir avec eux mais je reste seule responsable des insuffisances que cet article pourrait présenter.

References

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