A note on utility-based pricing
File(s)MD-DY_MFE15.pdf (124.6 KB)
Accepted version
Author(s)
Davis, MHA
Yoshikawa, D
Type
Journal Article
Abstract
In this short note, we discuss the features of utility-based pricing and indifference pricing. To do this, we introduce a utility-based curve that simply and simultaneously allows for a discussion of the graphical features of both prices. We also clarify features of these prices form an economics point of view; the introduction of this utility-based curve enables us to simply discuss the property of the partial equilibrium of the random endowment. We also discuss the availability of the analysis using income and substitution effects to clarify the quality of economic goods. This analysis is well-known in the context of economics. A utility-based curve shows us the impossibility of this analysis. In a sense, the implicit purpose of this paper is to show the limitations of a utility-based and indifference framework.
Date Issued
2015-02-18
Date Acceptance
2015-02-12
Citation
Mathematics and Financial Economics, 2015, 9 (3), pp.215-230
ISSN
1862-9679
Publisher
Springer Verlag (Germany)
Start Page
215
End Page
230
Journal / Book Title
Mathematics and Financial Economics
Volume
9
Issue
3
Copyright Statement
© 2015 Springer-Verlag Berlin Heidelberg. The final publication is available at Springer via http://dx.doi.org/10.1007/s11579-015-0142-8
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000356042100003&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Subjects
Social Sciences
Science & Technology
Physical Sciences
Business, Finance
Economics
Mathematics, Interdisciplinary Applications
Social Sciences, Mathematical Methods
Business & Economics
Mathematics
Mathematical Methods In Social Sciences
Utility-based price
Indifference pricing
Exponential utility
Utility-based curve
Partial equilibrium
Income and substitution effects
INCOMPLETE MARKETS
OPTIMAL INVESTMENT
VALUATION
ENTROPY
PRICES
MAXIMIZATION
CLAIMS
01 Mathematical Sciences
14 Economics
Publication Status
Published