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.
2009
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].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11590/124156
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