Article ID Journal Published Year Pages File Type
5077053 Insurance: Mathematics and Economics 2009 8 Pages PDF
Abstract
This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering arbitrage-free financial markets. A pricing formula is obtained for contingent claims written on n underlying assets following a general diffusion process. The formula holds in both complete and incomplete markets as well as in constrained markets. An application is also considered assuming a geometric Brownian motion for the underlying assets and the Wang transform as the distortion function.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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