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Bachelier and His Times: A Conversation with Bernard Bru Read chapter Read first chapter

2002 | OriginalPaper | Chapter

Utility-Based Derivative Pricing in Incomplete Markets

Author : Jan Kallsen

Published in: Mathematical Finance — Bachelier Congress 2000

Publisher: Springer Berlin Heidelberg

Included in: Professional Book Archive

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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.

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Metadata
Title
Utility-Based Derivative Pricing in Incomplete Markets
Author
Jan Kallsen
Copyright Year
2002
Publisher
Springer Berlin Heidelberg
Book
Mathematical Finance — Bachelier Congress 2000

Print ISBN: 978-3-642-08729-5

Electronic ISBN: 978-3-662-12429-1

Copyright Year: 2002

DOI
https://doi.org/10.1007/978-3-662-12429-1_15