SFB 303 Discussion Paper No. A - 380

Author: Henrotte, Philippe
Title: Existence and Optimality of Equilibria in Markets With Tradeable Derivative Securities
Abstract: We study a financial market with endogenous price uncertainty. Agents trade derivative securities whose payoffs depend on future equilibrium asset prices. We prove that under some properness conditions on the preferences an equilibrium exists and we study its efficiency.
Keywords: Price Uncertainty, Derivative Securities, General Equilibrium
JEL-Classification-Number:
Creation-Date: August 1991
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