Talk:State prices

The name
There are several names for the same shit, state price density is also called pricing kernel, or state price deflator, or marginal rate of substitution process. Just for convenience, I list them here. Any more?

The usual 3 presentations


 * $$\pi_{t}S_{t}=E_{t}\pi_{t+1}S_{t+1}$$


 * $$D_{t}Z_{t}S_{t}=E_{t}D_{t+1}Z_{t+1}S_{t+1}$$


 * $$D_{t}S_{t}=E_{t}^{Q}D_{t+1}S_{t+1}$$

where $$D_{t}$$ is the discount process and Z is to change the measure, so the state price density $$\pi_{t}=D_{t}Z_{t}$$. In discrete state case, $$ S_{t}=\sum_{\omega_{t+1}}\pi_{t+1}\left(\omega_{t+1}\right)P_{t}\left(\omega_{t+1}\right)S_{t+1}\left(\omega_{t+1}\right)=\sum_{\omega_{t+1}}q_{t}\left(\omega_{t+1}\right)S_{t+1}\left(\omega_{t+1}\right)$$

Jackzhp (talk) 21:01, 8 July 2010 (UTC)

Merge proposal

 * Support the July proposal to merge Arrow security to here; a subtopic on a page that is short, that would benefit from the context of the broader article here. Klbrain (talk) 10:25, 19 November 2022 (UTC)
 * Support the July proposal to merge Arrow security to here, and also propose merging both into Arrow-Debreu model. --Kmfrick (talk) 18:23, 6 January 2023 (UTC)

The merge
✅ as per WP:MERGE Kautilyalundit (talk) 08:14, 29 March 2023 (UTC)