Larsen, Kasper; Soner, Halil Mete; Zitkovic, Gordan - 2018
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...