This paper studies the problem of pricing contingent claims in a market which has frictions in the form of costs, such as penalty functions corresponding to constraints. An arbitrage-free interval is identified, and a fair price based upon utility functions is proposed. It provides a framework...

It is shown how, even when the market is incomplete, certain contingent claims are attainable: that is, they can be represented as stochastic integrals with respect to the process which describes the evolution of the asset prices. Copyright 1995 Blackwell Publishers.

In this paper, we study the risk-aversion behavior of an agent in the dynamic framework of consumption/investment decision making that allows the possibility of bankruptcy. Agent's consumption utility is assumed to be represented by a strictly increasing, strictly concave, continuously...

This paper deals with the problem of the financial valuation of a firm and its shares of stock with general financing policies in a partial equilibrium framework. the model assumes a time-dependent discount rate and a general stochastic environment in a discrete-time setting. the fundamental...