A note on utility-based pricing
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Cites work
- scientific article; zbMATH DE number 53542 (Why is no real title available?)
- A note on utility-based pricing in models with transaction costs
- An example of indifference prices under exponential preferences
- Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
- Exponential Hedging and Entropic Penalties
- Microeconomic theory
- ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
- Optimal hedging with basis risk
- Optimal investment with derivative securities
- Optimal investment with random endowments in incomplete markets.
- Pricing via utility maximization and entropy.
- Rational hedging and valuation of integrated risks under constant absolute risk aversion.
- Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- The minimal entropy martingale measure and the valuation problem in incomplete markets
- The minimal entropy measure and an Esscher transform in an incomplete market model
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
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