Option Pricing in Incomplete Markets
- https://doi.org/10.2991/icaiees-13.2013.52How to use a DOI?
- Option, Credit risk, Martingale, Risk neutrality
If the market is incomplete, we have several choices of equivalent martingale measures to price contingent claims .Recall that we didn’t impose conditions on the preferences of the economic agents other than that they prefer more to less. So it is quite natural to specify the preferences further in order to select one of the equivalent martingale measures.The specification of the investor’s attitude towards risk is done in terms of a utility function.
- © 2013, the Authors. Published by Atlantis Press.
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Cite this article
TY - CONF AU - Zhaohai Wang PY - 2013/12 DA - 2013/12 TI - Option Pricing in Incomplete Markets BT - Proceedings of the 2013 International Conference on Advanced Information Engineering and Education Science (ICAIEES 2013) PB - Atlantis Press SP - 195 EP - 197 SN - 1951-6851 UR - https://doi.org/10.2991/icaiees-13.2013.52 DO - https://doi.org/10.2991/icaiees-13.2013.52 ID - Wang2013/12 ER -