Incomplete Financial Markets and Contingent Claim Pricing in a dual expected utility theory framework

This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering arbitrage-free nancial markets. A pricing formula is obtained for contingent claims written on n underlying assets following general Itô processes and without any comonotonicity hypothesis. The formula holds both in complete and incomplete markets and also in constrained markets. An application is also considered assuming geometric Brownian motion for the underlying assets and the Wang transform as distortion function.