Pricing contingent claims in incomplete markets when the holder can choose among different payoffs

Insurance: Mathematics and Economics

Volumn 31, Issue 2, 2002, Pages 215-233

  Kühn, Christoph ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

American options; Contingent claims; Exponential utility; Hedging; Incomplete markets; Insurance; Pricing

Indexed keywords

EID: 0037131280     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(02)00151-8     Document Type: Article

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