The pricing of contingent claims and optimal positions in asymptotically complete markets

DOI10.1214/16-AAP1246zbMath1414.91360arXiv1509.06210MaRDI QIDQ2403142

Scott Robertson, Michail Anthropelos, Konstantinos V. Spiliopoulos

Publication date: 15 September 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.06210

zbMATH Keywords

incomplete markets; utility functions; indifference pricing; large position size

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G48: Generalizations of martingales

60F10: Large deviations

91G20: Derivative securities (option pricing, hedging, etc.)