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Journal of Statistical Theory and Practice

, Volume 5, Issue 3, pp 397–411 | Cite as

Overview of Utility-Based Valuation

Article

Abstract

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.

AMS Subject Classification

91B16 91B25 91G20 

Key-words

Utility-based prices Price corrections Risk-tolerance 

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Copyright information

© Grace Scientific Publishing 2011

Authors and Affiliations

  1. 1.Department of MathematicsClaremont McKenna CollegeClaremontUSA

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