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On Utility‐Based Pricing Of Contingent Claims In Incomplete Markets

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  • Julien Hugonnier
  • Dmitry Kramkov
  • Walter Schachermayer

Abstract

We study the uniqueness of the marginal utility‐based price of contingent claims in a semimartingale model of an incomplete financial market. In particular, we obtain that a necessary and sufficient condition for all bounded contingent claims to admit a unique marginal utility‐based price is that the solution to the dual problem defines an equivalent local martingale measure.

Suggested Citation

  • Julien Hugonnier & Dmitry Kramkov & Walter Schachermayer, 2005. "On Utility‐Based Pricing Of Contingent Claims In Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 203-212, April.
    • Handle: RePEc:bla:mathfi:v:15:y:2005:i:2:p:203-212
    DOI: 10.1111/j.0960-1627.2005.00217.x
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