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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- Wang, Shaun S., 2002. "A Universal Framework for Pricing Financial and Insurance Risks," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 32(02), pages 213-234, November.
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- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Marisa Cenci & Massimiliano Corradini & Andrea Gheno, 2005. "Dynamic portfolio selection in a dual expected utility theory framework," Departmental Working Papers of Economics - University 'Roma Tre' 0056, Department of Economics - University Roma Tre.
- Cenci, Marisa & Corradini, Massimiliano & Gheno, Andrea, 2006. "Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 36(02), pages 505-520, November.
- 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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