Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework
AbstractThis paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering arbitrage-free financial markets. A pricing formula is obtained for contingent claims written on n underlying assets following a general diffusion process. The formula holds in both complete and incomplete markets as well as in constrained markets. An application is also considered assuming a geometric Brownian motion for the underlying assets and the Wang transform as the distortion function.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 45 (2009)
Issue (Month): 2 (October)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/505554
Contingent claim pricing Dual expected utility theory Incomplete markets Wang transform;
Other versions of this item:
- Massimiliano Corradini & Andrea Gheno, 2008. "Incomplete Financial Markets and Contingent Claim Pricing in a dual expected utility theory framework," Departmental Working Papers of Economics - University 'Roma Tre' 0085, Department of Economics - University Roma Tre.
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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