Valuing risky income streams in incomplete markets

C. Johnson, Y. Omar and P. Ouwehand

Applied Mathematical Finance, 2004, vol. 11, issue 3, 227-258

Abstract: A model for pricing and hedging in incomplete markets is proposed. This model is derived from expected utility theory, and a connection with the traditional no-arbitrage framework is noted. It is shown that the CGM model can be implemented to value risky assets in incomplete markets.

Keywords: pricing in incomplete markets; expected utility; coherent risk measures (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1080/1350486042000228726

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