Valuing risky income streams in incomplete markets

A model for pricing and hedging in incomplete markets is proposed. This model is derived from expected utility theory, and a connection with the traditional no-arbitrage framework is noted. It is shown that the CGM model can be implemented to value risky assets in incomplete markets.

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Year of publication:	2004
Authors:	Johnson, C. ; Omar, Y. ; Ouwehand, P.
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 11.2004, 3, p. 227-258
Publisher:	Taylor & Francis Journals
Subject:	pricing in incomplete markets \| expected utility \| coherent risk measures

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005495436