Corrections to the Prices of Derivatives due to Market Incompleteness

David German

Applied Mathematical Finance, 2011, vol. 18, issue 2, 155-187

Abstract: We compute the first-order corrections to marginal utility-based prices with respect to a 'small' number of random endowments in the framework of three incomplete financial models. They are a stochastic volatility model, a basis risk and market portfolio model and a credit-risk model with jumps and stochastic recovery rate.

Keywords: Price corrections; risk tolerance; stochastic volatility; basis risk; credit risk (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apmtfi:v:18:y:2011:i:2:p:155-187

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DOI: 10.1080/1350486X.2010.493709

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