A note on utility-based pricing

DOI10.1007/S11579-015-0142-8MaRDI QIDQ2351402zbMATH OpenOpenAlexFDO

Authors Mark H. A. Davis, Daisuke Yoshikawa

Publication date 23 June 2015

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10044/1/42549

zbMATH Keywords

exponential utilityincome effectindifference pricingpartial equilibriumsubstitution effectutility-based pricing

Mathematics Subject Classification ID

Utility theory (91B16)

Review text

The paper points out some features of utility-based pricing method and indifference pricing method. Authors demonstrate the relationship between these methods. The utility approach enables to simply discuss the property of the partial equilibrium of the random endowment. At the end the authors discuss the features of random endowment using utility-based pricing and indifference pricing.

Recommendations

• Overview of utility-based valuation
• A note on utility indifference pricing
• OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
• A note on utility-based pricing in models with transaction costs
• Asymptotic utility-based pricing and hedging for exponential utility

Cites work

• A note on utility-based pricing in models with transaction costs
• An example of indifference prices under exponential preferences
• Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
• Exponential Hedging and Entropic Penalties
• scientific article; zbMATH DE number 53542 (Why is no real title available?)
• Microeconomic theory
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• Optimal hedging with basis risk
• Optimal investment with derivative securities
• Optimal investment with random endowments in incomplete markets.
• Pricing via utility maximization and entropy.
• Rational hedging and valuation of integrated risks under constant absolute risk aversion.
• Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• The minimal entropy martingale measure and the valuation problem in incomplete markets
• The minimal entropy measure and an Esscher transform in an incomplete market model
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

Cited in

(3)

• A note on the effects of downstream efficiency on upstream pricing
• A note on utility-based pricing in models with transaction costs
• A NOTE ON PRICING OF PRODUCT QUALITY FOR STATUS CONCERNS

This page was built for publication: A note on utility-based pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2351402)