A Note on Utility-Based Pricing

Mathematics and Financial Economics, Vol. 9, No. 3, 2015

7 Pages Posted: 5 Aug 2010 Last revised: 29 Jul 2015

See all articles by Mark Davis

Mark Davis

Imperial College London

Daisuke Yoshikawa

Hokkai-Gakuen University

Date Written: August 4, 2010

Abstract

In incomplete market theory, the utility-based price and the indifference pricing have especially received much attention in pricing methods using utility function. This paper constructs the framework to unite these two methods and analyzes the relationship between them, using the setting of the exponential utility. Furthermore, we deduce the equilibrium price under the framework of the utility-based price.

Keywords: utility-based pricing, utility indifference pricing, equilibrium, exponential utility

JEL Classification: G12, G13

Suggested Citation

Davis, Mark and Yoshikawa, Daisuke, A Note on Utility-Based Pricing (August 4, 2010). Mathematics and Financial Economics, Vol. 9, No. 3, 2015. Available at SSRN: https://ssrn.com/abstract=1653462 or http://dx.doi.org/10.2139/ssrn.1653462

Mark Davis

Imperial College London ( email )

South Kensington Campus
London SW7 2AZ, SW7 2AZ
United Kingdom
02075948486 (Phone)

HOME PAGE: http://www.ma.ic.ac.uk/~mdavis

Daisuke Yoshikawa (Contact Author)

Hokkai-Gakuen University ( email )

4-1-40, Asahi-machi, Toyohira-ku
Sapporo-shi
Hokkai-do, 062-8605
Japan

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