Overview of utility-based valuation

Details Overview of utility-based valuation Overview of utility-based valuation

2010-03-30

arxiv.org/abs/1003.5712v1

Economy

Quantitative Finance

General Finance

Scientific paper

We review the utility-based valuation method for pricing derivative
securities in incomplete markets. In particular, we review the practical
approach to the utility-based pricing by the means of computing the first order
expansion of marginal utility-based prices with respect to a small number of
random endowments.

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