ON UTILITY BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS

Walter Schachermayer
(joint work with Julien Hugonnier, Dmitrii Kramkov)

Abstract

We study the uniqueness of the marginal 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 marginal utility based price is that the solution to the dual problem defines an equivalent local martingale measure.