Pricing Via Utility Maximization and Entropy

DOI10.1111/1467-9965.00093zbMath1052.91512OpenAlexW2161007682MaRDI QIDQ2707148

Richard Rouge, Nicole El Karoui

Publication date: 29 March 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00093

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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