A Note on Utility-Based Pricing

In incomplete market theory, the utility-based price and the indifference pricing have especially received much attention in pricing methods using utility function. This paper constructs the framework to unite these two methods and analyzes the relationship between them, using the setting of the exponential utility. Furthermore, we deduce the equilibrium price under the framework of the utility-based price

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Year of publication:	2015
Authors:	Davis, Mark H. A.
Other Persons:	Yoshikawa, Daisuke (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Preismanagement \| Pricing strategy

Extent:	1 Online-Ressource (7 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Mathematics and Financial Economics, Vol. 9, No. 3, 2015 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 4, 2010 erstellt
Other identifiers:	10.2139/ssrn.1653462 [DOI]
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013038657