A note on utility-based pricing

DOI10.1007/S11579-015-0142-8MaRDI QIDQ2351402zbMATH OpenOpenAlexFDO

Authors Mark H. A. Davis, Daisuke Yoshikawa

Publication date 23 June 2015

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10044/1/42549

zbMATH Keywords

exponential utilityindifference pricingincome effectpartial equilibriumsubstitution effectutility-based pricing

Mathematics Subject Classification ID

Utility theory (91B16)

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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

Cited in

(3)

• A NOTE ON PRICING OF PRODUCT QUALITY FOR STATUS CONCERNS
• A note on utility-based pricing in models with transaction costs
• A note on the effects of downstream efficiency on upstream pricing

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