Option Pricing in Incomplete Markets

DOI

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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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  - 10.2991/icaiees-13.2013.52
ID  - Wang2013/12
ER  -