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Overview of utility-based valuation (1003.5712v1)
Published 30 Mar 2010 in q-fin.GN and q-fin.PR
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.
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