Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework

DOI10.1016/j.insmatheco.2009.05.011zbMath1231.91429OpenAlexW2063075107MaRDI QIDQ659116

Andrea Gheno, Massimiliano Corradini

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.05.011

zbMATH Keywords

incomplete marketsWang transformcontingent claim pricingdual expected utility theory

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

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