ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS
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Publication:3576956
DOI10.1111/j.1467-9965.2010.00405.xzbMath1198.91080arXiv0803.2198MaRDI QIDQ3576956
Gordan Žitković, Michail Anthropelos
Publication date: 3 August 2010
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0803.2198
incomplete market; random endowment; risk-aversion; semimartingale; exponential utility; partial equilibrium; indifference prices; conditional indifference prices
91B52: Special types of economic equilibria
91G20: Derivative securities (option pricing, hedging, etc.)
91B26: Auctions, bargaining, bidding and selling, and other market models
Related Items
Nash Equilibria for Game Contingent Claims with Utility-Based Hedging, PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS, The effect of market power on risk-sharing
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