Valuing risky income streams in incomplete markets
AbstractA model for pricing and hedging in incomplete markets is proposed. This model is derived from expected utility theory, and a connection with the traditional no-arbitrage framework is noted. It is shown that the CGM model can be implemented to value risky assets in incomplete markets.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Mathematical Finance.
Volume (Year): 11 (2004)
Issue (Month): 3 ()
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