Risk Averse Asymptotics and the Optional Decomposition

From MaRDI portal

Revision as of 22:13, 8 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)

(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:5307623

Jump to:navigation, search

DOI10.1137/S0040585X97982384zbMath1255.91400OpenAlexW2001892493MaRDI QIDQ5307623

Christopher Summer, Peter Grandits

Publication date: 17 September 2007

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97982384

zbMATH Keywords

hedging risk aversion exponential utility optional decomposition

Mathematics Subject Classification ID

Utility theory (91B16) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Risk aversion asymptotics for power utility maximization ⋮ Risk averse asymptotics in a Black--Scholes market on a finite time horizon ⋮ Convergence of utility indifference prices to the superreplication price: the whole real line case

This page was built for publication: Risk Averse Asymptotics and the Optional Decomposition

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:5307623&oldid=19979477"