قیمت گذاری گزینه ای در بازارهای ناقص

Expected utility maximization is a very useful approach for pricing options in an incomplete market. The results from this approach contain many important features observed by practitioners. However, under this approach, the option prices are determined by a set of coupled nonlinear partial differential equations in high dimensions. Thus, it represents numerous significant difficulties in both theoretical analysis and numerical computations. In this paper, we present accurate approximate solutions for this set of equations.