Pricing with non-smooth utility function (Q3396066)

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Pricing with non-smooth utility function
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    title
    Pricing with non-smooth utility function (English)
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    author
    Jaleleddine Ben Amor
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    Abdelhamid Trad
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    published in
    Stochastics
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    publication date
    16 September 2009
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    Mathematics Subject Classification ID
    91B25
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    90C46
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    91B16
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    46N10
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    91G20
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    zbMATH DE Number
    5604268
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    zbMATH Keywords
    pricing problem
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    incomplete market
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    convex duality
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    marginal rate of substitution
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    utility price
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    fair price
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