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Document type:
Zeitschriftenaufsatz 
Author(s):
Kallsen, J.; Kühn, C. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
On Utility-Based Derivative Pricing with and without Intermediate Trades 
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:
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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