ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS

Julien Hugonnier, Dmitry Kramkov () and Walter Schachermayer

Mathematical Finance, 2005, vol. 15, issue 2, 203-212

Abstract: We study the uniqueness of the marginal utility‐based price of contingent claims in a semimartingale model of an incomplete financial market. In particular, we obtain that a necessary and sufficient condition for all bounded contingent claims to admit a unique marginal utility‐based price is that the solution to the dual problem defines an equivalent local martingale measure.

Date: 2005
References: View complete reference list from CitEc
Citations: View citations in EconPapers (36)

Downloads: (external link)
https://doi.org/10.1111/j.0960-1627.2005.00217.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:mathfi:v:15:y:2005:i:2:p:203-212

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0960-1627

Access Statistics for this article

Mathematical Finance is currently edited by Jerome Detemple

More articles in Mathematical Finance from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().