EconPapers    
Economics at your fingertips  
 

On contingent claims pricing in incomplete markets: A risk sharing approach

Michail Anthropelos, Nikolaos E. Frangos, Stylianos Z. Xanthopoulos and Athanasios N. Yannacopoulos

Papers from arXiv.org

Abstract: In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the minimization of a convex combination of their utility differences. We call this price the risk sharing price, we prove its existence for a large family of utility functions and we state some of its properties. As an example, we analyze extensively the case where both agents report exponential utility.

Date: 2008-09, Revised 2012-02
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/0809.4781 Latest version (application/pdf)

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:arx:papers:0809.4781

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2023-06-15
Handle: RePEc:arx:papers:0809.4781