On the Utility Based Pricing of Contingent Claims in Incomplete Markets
نویسندگان
چکیده
We study the uniqueness of the utility based price of contingent claims in a semimartingale model of incomplete financial market. In particular, we obtain that a necessary and sufficient condition for all bounded contingent claims to admit a unique utility based price is that the solution to the dual problem defines an equivalent local martingale measure.
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