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Title:

On Utility-Based Derivative Pricing with and without Intermediate Trades

Document type:
Zeitschriftenaufsatz
Author(s):
Kallsen, J.; Kühn, C.
Non-TUM Co-author(s):
ja
Cooperation:
-
Abstract:
The neutral valuation approach for contingent claims in incomplete markets is based on the assumption that investors are identical utility maximizers and that derivative supply and demand are balanced. It is closely related to (marginal) utility-based pricing in the sense of Hugonnier et al. (2005), where however only buy-and-hold investments in the derivative are possible. This paper contains four results: Firstly, it is shown that neutral derivative prices exist in discrete-time markets with f...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
Statistics and Decisions
Year:
2006
Journal volume:
24
Journal issue:
4
Pages contribution:
415-434
Language:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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