ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
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Publication:3370586
DOI10.1111/j.0960-1627.2005.00217.xzbMath1124.91338OpenAlexW3122216790MaRDI QIDQ3370586
Dmitry Kramkov, Walter Schachermayer, Julien Hugonnier
Publication date: 8 February 2006
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.133.7765
Martingales with discrete parameter (60G42) Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)
Related Items (41)
Erratum to: ``Utility maximization in incomplete markets with random endowment ⋮ Optimal investment with random endowments in incomplete markets. ⋮ Existence and uniqueness of martingale solutions to option pricing equations with noise ⋮ Using Utility Functions to Model Risky Bonds ⋮ Indifference pricing for CRRA utilities ⋮ Equal risk pricing under convex trading constraints ⋮ Optimal asset allocation with fixed-term securities ⋮ Pricing and hedging in the presence of extraneous risks ⋮ Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets ⋮ Dynamic surplus optimization with performance- and index-linked liabilities ⋮ Robust utility maximisation with intractable claims ⋮ Optimal investment with random endowments and transaction costs: duality theory and shadow prices ⋮ Optimal investment and consumption with labor income in incomplete markets ⋮ A note on utility maximization with unbounded random endowment ⋮ OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT ⋮ Optimal investment and price dependence in a semi-static market ⋮ Risk measure pricing and hedging in incomplete markets ⋮ Relative and Discrete Utility Maximising Entropy ⋮ Sensitivity analysis of the utility maximisation problem with respect to model perturbations ⋮ Zero-level pricing method with transaction cost ⋮ ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ On dynamic programming equations for utility indifference pricing under delta constraints ⋮ DO ARBITRAGE‐FREE PRICES COME FROM UTILITY MAXIMIZATION? ⋮ On utility maximization in discrete-time financial market models ⋮ In which financial markets do mutual fund theorems hold true? ⋮ Emergence of fuzzy preferences for risk in a Birkhoff-von Neumann logics environment ⋮ OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING ⋮ Sensitivity analysis of utility-based prices and risk-tolerance wealth processes ⋮ Muckenhoupt's \((A_p)\) condition and the existence of the optimal martingale measure ⋮ STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS ⋮ A NOTE ON UTILITY INDIFFERENCE PRICING ⋮ Overview of utility-based valuation ⋮ Parametric Estimation of Risk Neutral Density Functions ⋮ Conditional Davis pricing ⋮ Valuation and Parities for Exchange Options ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS ⋮ VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH ⋮ A note on utility-based pricing ⋮ Bounds for the utility-indifference prices of non-traded assets in incomplete markets ⋮ Facelifting in utility maximization
Uses Software
Cites Work
- The Banach space of workable contingent claims in arbitrage theory
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Valuation and martingale properties of shadow prices: an exposition
- On the pricing of contingent claims under constraints
- Derivative pricing based on local utility maximization
- Optimal investment in incomplete markets when wealth may become negative.
- On the Existence of Minimax Martingale Measures
- Introduction to a theory of value coherent with the no-arbitrage principle
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