INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES

DOI10.1111/j.1467-9965.2010.00443.xzbMath1228.91026arXiv0905.4657MaRDI QIDQ3008484

M. R. Grasselli, Sara Biagini, Marco Frittelli

Publication date: 16 June 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.4657

zbMATH Keywords

incomplete market; Orlicz space; convex duality; random endowment; utility maximization; convex risk measure; indifference price; non locally bounded semimartingale

Mathematics Subject Classification ID

60G48: Generalizations of martingales

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