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ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS

✍ Scribed by Julien Hugonnier; Dmitry Kramkov; Walter Schachermayer


Book ID
110757055
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
96 KB
Volume
15
Category
Article
ISSN
0960-1627

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Equilibrium pricing of contingent claims
✍ Masaaki Kijima; Akira Maeda; Katsumasa Nishide πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 212 KB

## Abstract We advance a model of the tradable permit market and derive a pricing formula for contingent claims traded in the market in a general equilibrium framework. It is shown that prices of such contingent claims exhibit significantly different properties from those in the ordinary financial