Overview of utility-based valuation

被引：0
|
作者：
German D. [1 ]
机构：
[1] Claremont McKenna College, Department of Mathematics, Claremont
来源：
Journal of Statistical Theory and Practice | 2011年 / 5卷 / 3期
关键词：
Price corrections; Risk-tolerance; Utility-based prices;
D O I：
10.1080/15598608.2011.10412037
中图分类号：
学科分类号：
摘要：
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. © 2011 Copyright Taylor and Francis Group, LLC.
引用
收藏
页码：397 / 411
页数：14
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