Pricing with non-smooth utility function

DOI10.1080/17442500902917250MaRDI QIDQ3396066zbMATH OpenOpenAlexFDO

Authors Jaleleddine Ben Amor, Abdelhamid Trad

Publication date 16 September 2009

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500902917250

zbMATH Keywords

convex dualityincomplete marketmarginal rate of substitutionfair pricepricing problemutility price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Optimality conditions and duality in mathematical programming (90C46) Utility theory (91B16) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Recommendations

• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• Utility based pricing of contingent claims in incomplete markets
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• On Utility-Based Superreplication Prices of Contingent Claims with Unbounded Payoffs

Cites work

• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 195027 (Why is no real title available?)
• scientific article; zbMATH DE number 3441151 (Why is no real title available?)
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• Martingales and stochastic integrals in the theory of continuous trading
• On the pricing of contingent claims under constraints
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Optional decompositions under constraints
• The Banach space of workable contingent claims in arbitrage theory
• Valuation and martingale properties of shadow prices: an exposition

Cited in

(8)

• Cost functions in nonlinear pricing
• Bounds for the utility-indifference prices of non-traded assets in incomplete markets
• Price systems constructed by optimal dynamic portfolios.
• Utility based pricing of contingent claims in incomplete markets
• Conditional Davis pricing
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• Pricing Principle via Tsallis Relative Entropy in Incomplete Markets
• Convex pricing by a generalized entropy penalty

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