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- Title:
Utility-Based Derivative Pricing in Incomplete Markets
- Document type:
- Buchbeitrag
- Author(s):
- Kallsen, J.
- Pages contribution:
- 313-338
- Abstract:
- In recent years various suggestions concerning contingent claim valuation in incomplete markets have been made. We argue that some of them can be naturally interpreted in terms of neutral derivative prices which occur if derivative demand and supply are balanced. Secondly, we introduce the notion of consistent derivative pricing which is a way of constructing market models that are consistent with initially observed derivative quotations.
- Editor:
- Geman, H.; Madan, D.; Pliska, S.R.; Vorst, T.
- Book title:
- Mathematical Finance - Bachelier Congress 2000
- Publisher:
- Springer, Berlin
- Year:
- 2002
- Language:
- en
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