Incomplete Financial Markets and Contingent Claim Pricing in a dual expected utility theory framework

Massimiliano Corradini () and Andrea Gheno

No 85, 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 arbitrage-free nancial markets. A pricing formula is obtained for contingent claims written on n underlying assets following general Itô processes and without any comonotonicity hypothesis. The formula holds both in complete and incomplete markets and also in constrained markets. An application is also considered assuming geometric Brownian motion for the underlying assets and the Wang transform as distortion function.

Keywords: Contingent Claim Pricing; Dual Utility Theory; Wang Transform; Incomplete Markets (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Pages: 23
Date: 2008-01
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Journal Article: Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:rtr:wpaper:0085

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