条件戴维斯定价
Conditional Davis Pricing
摘要：
研究了投资者具有不可复制随机禀赋的金融衍生品的边际效用价格集。我们提供了一个例子，表明即使在最简单的设置-如萨缪尔森的几何布朗运动模型-的边际效用为基础的价格的区间可以是一个非平凡的严格子区间的所有无套利价格。这与非唯一性是例外的可复制禀赋的情况形成鲜明对比。我们提供了这些价格的终点公式，并用几个例子说明了理论。
英文摘要：
We study the set of marginal utility-based prices of a financial derivative in the case where the investor has a non-replicable random endowment. We provide an example showing that even in the simplest of settings - such as Samuelson's geometric Brownian motion model - the interval of marginal utility-based prices can be a non-trivial strict subinterval of the set of all no-arbitrage prices. This is in stark contrast to the case with a replicable endowment where non- uniqueness is exceptional. We provide formulas for the end points for these prices and illustrate the theory with several examples.
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