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Overview of utility-based valuation

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  • David German

Abstract

We review the utility-based valuation method for pricing derivative securities in incomplete markets. In particular, we review the practical approach to the utility-based pricing by the means of computing the first order expansion of marginal utility-based prices with respect to a small number of random endowments.

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  • David German, 2010. "Overview of utility-based valuation," Papers 1003.5712, arXiv.org.
    • Handle: RePEc:arx:papers:1003.5712
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    References listed on IDEAS

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    5. Julien Hugonnier & Dmitry Kramkov, 2004. "Optimal investment with random endowments in incomplete markets," Papers math/0405293, arXiv.org.
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