Empty promises and arbitrage

• 成果类型: Article
• 署名作者: Willard, GA; Dybvig, PH
• 署名单位: Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/12.4.807
• 发表日期: 1999
• 页码: 807
• 关键词: Valuation

摘要

Analysis of absence of arbitrage normally ignores payoffs in states to which the agent assigns zero probability. We extend the fundamental theorem of asset pricing to the case of no empty promises in which the agent cannot promise arbitrarily large payments in some states. There is a superpositive pricing rule that can assign positive price to claims in zero probability states important to the market as well as assigning positive prices to claims in the states of positive probability. With continuous information arrival, no empty promises can be enforced by shutting down the agent's subsequent investments once wealth hits zero.