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Incomplete Financial Markets And Contingent Claim Pricing In A Dual Expected Utility Theory Framework

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Author Info
Massimiliano Corradini
Andrea Gheno
Abstract

This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering arbitrage-free nancial markets. A pricing formula is obtained for contingent claims written on n underlying assets following general Itô processes and without any comonotonicity hypothesis. The formula holds both in complete and incomplete markets and also in constrained markets. An application is also considered assuming geometric Brownian motion for the underlying assets and the Wang transform as distortion function.

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Publisher Info
Paper provided by Department of Economics - University Roma Tre in its series Departmental Working Papers of Economics - University 'Roma Tre' with number 0085.

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Length: 23
Date of creation: Jan 2008
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Handle: RePEc:rtr:wpaper:0085

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Related research
Keywords: Contingent Claim Pricing; Dual Utility Theory; Wang Transform; Incomplete Markets;

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