Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077053 | Insurance: Mathematics and Economics | 2009 | 8 Pages |
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
M. Corradini, A. Gheno,