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The neutral valuation approach for contingent claims in incomplete markets is based on the assumption that investors are identical utility maximizers and that derivative supply and demand are balanced. It is closely related to (marginal) utility-based pricing in the sense of Hugonnier et al. (2005) , where however only buy-and-hold investments in the derivative are possible. This paper contains four results: Firstly, it is shown that neutral derivative prices exist in discrete-time markets withdoi:10.1524/stnd.2006.24.4.415 fatcat:oyqzacgktzc6rlptgtuqo6ivum