ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS (Q3370586): Difference between revisions

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+On the Existence of Minimax Martingale Measures
@@ Property / cites work: On the Existence of Minimax Martingale Measures / rank @@
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+The Banach space of workable contingent claims in arbitrage theory
+Normal rank
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+Valuation and martingale properties of shadow prices: an exposition
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+Introduction to a theory of value coherent with the no-arbitrage principle
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+Derivative pricing based on local utility maximization
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+On the pricing of contingent claims under constraints
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
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+Optimal investment in incomplete markets when wealth may become negative.
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