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

@@ Property / OpenAlex ID @@
+W3122216790
@@ Property / OpenAlex ID: W3122216790 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Existence of Minimax Martingale Measures
@@ Property / cites work: On the Existence of Minimax Martingale Measures / rank @@
+Normal rank
@@ Property / cites work @@
+The Banach space of workable contingent claims in arbitrage theory
+Normal rank
@@ Property / cites work @@
+Valuation and martingale properties of shadow prices: an exposition
+Normal rank
@@ Property / cites work @@
+Introduction to a theory of value coherent with the no-arbitrage principle
+Normal rank
@@ Property / cites work @@
+Derivative pricing based on local utility maximization
+Normal rank
@@ Property / cites work @@
+On the pricing of contingent claims under constraints
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Optimal investment in incomplete markets when wealth may become negative.
+Normal rank