Contingent Claim Pricing In A Dual Expected Utility Theory Framework
This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering complete arbitrage-free nancial markets. In this framework this dual price is obtained, for the rst time in the literature, without any comonotonicity hypothesis and for contingent claims written on n underlying assets following generic Itô processes. An application is also considered assuming geometric brownian motion for the underlying assets and the Wang transform as distortion function.
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- Mahmoud Hamada & Michael Sherris, 2003. "Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(1), pages 19-47. Full references (including those not matched with items on IDEAS)
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