Valuation and martingale properties of shadow prices: an exposition

DOI10.1016/S0165-1889(99)00090-1zbMath1032.91052OpenAlexW2062297579MaRDI QIDQ1583150

Lucien Foldes

Publication date: 26 October 2000

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(99)00090-1

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

Related Items (7)

Risk measure pricing and hedging in incomplete markets ⋮ DO ARBITRAGE‐FREE PRICES COME FROM UTILITY MAXIMIZATION? ⋮ In which financial markets do mutual fund theorems hold true? ⋮ OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING ⋮ Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging ⋮ ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS ⋮ Pricing with non-smooth utility function

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