Corrections to the Prices of Derivatives due to Market Incompleteness

Abstract

We compute the first-order corrections to marginal utility-based prices with respect to a 'small' number of random endowments in the framework of three incomplete financial models. They are a stochastic volatility model, a basis risk and market portfolio model and a credit-risk model with jumps and stochastic recovery rate.Price corrections, risk tolerance, stochastic volatility, basis risk, credit risk,