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Corrections to the Prices of Derivatives due to Market Incompleteness

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  • David German

Abstract

We compute the first-order corrections to marginal utility-based prices with respect to a 'small' number of random endowments in the framework of three incomplete financial models. They are a stochastic volatility model, a basis risk and market portfolio model and a credit-risk model with jumps and stochastic recovery rate.

Suggested Citation

  • David German, 2011. "Corrections to the Prices of Derivatives due to Market Incompleteness," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(2), pages 155-187.
    • Handle: RePEc:taf:apmtfi:v:18:y:2011:i:2:p:155-187
    DOI: 10.1080/1350486X.2010.493709
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