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ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS |
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| Authors: | Julien Hugonnier Dmitry Kramkov Walter Schachermayer |
| Affiliation: | Institute of Banking and Finance, HEC Universitéde Lausanne and FAME, Lausanne; Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, Pennsylvania; Vienna University of Technology, Wien, Austria |
| Abstract: | We study the uniqueness of the marginal utility-based price of contingent claims in a semimartingale model of an incomplete financial market. In particular, we obtain that a necessary and sufficient condition for all bounded contingent claims to admit a unique marginal utility-based price is that the solution to the dual problem defines an equivalent local martingale measure. |
| Keywords: | utility-based pricing incomplete markets semimartingale model Rosenthal's lemma |