This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering arbitrage-free financial markets. A pricing formula is obtained for contingent claims written on n underlying assets following a general diffusion process. The formula holds in both complete and incomplete markets as well as in constrained markets. An application is also considered assuming a geometric Brownian motion for the underlying assets and the Wang transform as the distortion function.
Gheno, A. (2009). Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework. INSURANCE MATHEMATICS & ECONOMICS, 45, 180-187 [10.1016/j.insmatheco.2009.05.011].
Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework
GHENO, Andrea
2009-01-01
Abstract
This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering arbitrage-free financial markets. A pricing formula is obtained for contingent claims written on n underlying assets following a general diffusion process. The formula holds in both complete and incomplete markets as well as in constrained markets. An application is also considered assuming a geometric Brownian motion for the underlying assets and the Wang transform as the distortion function.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.