Overview of utility-based valuation
classification
💱 q-fin.GN
q-fin.PR
keywords
utility-basedpricingreviewvaluationapproachcomputingderivativeendowments
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We review the utility-based valuation method for pricing derivative securities in incomplete markets. In particular, we review the practical approach to the utility-based pricing by the means of computing the first order expansion of marginal utility-based prices with respect to a small number of random endowments.
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