Contingent Claim Pricing In A Dual Expected Utility Theory Framework

Massimiliano Corradini () and Andrea Gheno

No 82, Departmental Working Papers of Economics - University 'Roma Tre' from Department of Economics - University Roma Tre

Abstract: This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering complete arbitrage-free nancial markets. In this framework this dual price is obtained, for the rst time in the literature, without any comonotonicity hypothesis and for contingent claims written on n underlying assets following generic Itô processes. An application is also considered assuming geometric brownian motion for the underlying assets and the Wang transform as distortion function.

Keywords: Contingent Claims Pricing; Dual Utility Theory; Wang Transform. (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Pages: 16
Date: 2007-12
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