Overview of utility-based valuation
General Finance
2010-03-31 v1 Pricing of Securities
Abstract
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.
Cite
@article{arxiv.1003.5712,
title = {Overview of utility-based valuation},
author = {David German},
journal= {arXiv preprint arXiv:1003.5712},
year = {2010}
}