Total risk aversion and the pricing of options

DOI10.1007/BF01442392zbMath0734.90014MaRDI QIDQ811316

R. Jensen, Emmanuel Nicholas Barron

Publication date: 1991

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

option pricingcall optioninfinite index of absolute risk aversion

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

The Bellman equation for control of the running max of a diffusion and applications to look-back options

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Viscosity solutions of Isaacs' equations and differential games with Lipschitz controls
• On the pricing of American options
• Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
• Neumann type boundary conditions for Hamilton-Jacobi equations
• Martingales and stochastic integrals in the theory of continuous trading
• Total risk aversion, stochastic optimal control, and differential games
• A stochastic calculus model of continuous trading: Complete markets
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• Semicontinuous Viscosity Solutions For Hamilton–Jacobi Equations With Convex Hamiltonians
• Optimization Problems in the Theory of Continuous Trading
• A Stochastic Control Approach to the Pricing of Options
• Discontinuous solutions of deterministic optimal stopping time problems

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