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
Date Written: August 4, 2010
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: Suggested Citation