A note on utility-based pricing (Q2351402): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / OpenAlex ID
 
Property / OpenAlex ID: W3123409178 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Rational hedging and valuation of integrated risks under constant absolute risk aversion. / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on utility-based pricing in models with transaction costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: An example of indifference prices under exponential preferences / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5493542 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exponential Hedging and Entropic Penalties / rank
 
Normal rank
Property / cites work
 
Property / cites work: The asymptotic elasticity of utility functions and optimal investment in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment with random endowments in incomplete markets. / rank
 
Normal rank
Property / cites work
 
Property / cites work: ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4003734 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment with derivative securities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sensitivity analysis of utility-based prices and risk-tolerance wealth processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: The minimal entropy measure and an Esscher transform in an incomplete market model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4902563 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Via Utility Maximization and Entropy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random / rank
 
Normal rank

Latest revision as of 08:42, 10 July 2024

scientific article
Language Label Description Also known as
English
A note on utility-based pricing
scientific article

    Statements

    A note on utility-based pricing (English)
    0 references
    0 references
    0 references
    23 June 2015
    0 references
    The paper points out some features of utility-based pricing method and indifference pricing method. Authors demonstrate the relationship between these methods. The utility approach enables to simply discuss the property of the partial equilibrium of the random endowment. At the end the authors discuss the features of random endowment using utility-based pricing and indifference pricing.
    0 references
    0 references
    utility-based pricing
    0 references
    indifference pricing
    0 references
    exponential utility
    0 references
    partial equilibrium
    0 references
    income effect
    0 references
    substitution effect
    0 references
    0 references