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Quantitative Finance · Glossário

O que é Arrow–Debreu security and state price?

Também chamado de: Arrow--Debreu security · state price

Definition 1.6 Derivatives and Volatility · Capítulo 1 — No Arbitrage and the Fundamental Theorems

The Arrow–Debreu security of state ss pays 1 if state ss occurs and nothing otherwise. Its price qsq_s is the state price of ss. A vector q∈RSq\in\R^S is a state-price vector for the market if it prices every traded asset: p=D⊤qp = D^\top q, that is pj=∑sqsDsjp_j=\sum_s q_sD_{sj}.

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