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

@@ Property / DOI @@
-.1111/j.0960-1627.2005.00217.x
@@ Property / DOI: 10.1111/j.0960-1627.2005.00217.x / rank @@
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+W3122216790
@@ Property / OpenAlex ID: W3122216790 / rank @@
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@@ 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
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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
+Normal rank
@@ Property / cites work @@
+On the pricing of contingent claims under constraints
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@@ Property / cites work @@
+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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@@ Property / cites work @@
+Optimal investment in incomplete markets when wealth may become negative.
+Normal rank
@@ Property / DOI @@
+.1111/J.0960-1627.2005.00217.X
@@ Property / DOI: 10.1111/J.0960-1627.2005.00217.X / rank @@
+Normal rank