Proceedings of the 2013 International Conference on Advanced Information Engineering and Education Science (ICAIEES 2013)

Option Pricing in Incomplete Markets

Authors
Zhaohai Wang
Corresponding Author
Zhaohai Wang
Available Online December 2013.
DOI
https://doi.org/10.2991/icaiees-13.2013.52How to use a DOI?
Keywords
Option, Credit risk, Martingale, Risk neutrality
Abstract

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.

Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2013 International Conference on Advanced Information Engineering and Education Science (ICAIEES 2013)
Series
Advances in Intelligent Systems Research
Publication Date
December 2013
ISBN
978-90-78677-94-9
ISSN
1951-6851
DOI
https://doi.org/10.2991/icaiees-13.2013.52How to use a DOI?
Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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  -