INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES

DOI10.1111/j.1467-9965.2010.00443.xzbMath1228.91026arXiv0905.4657OpenAlexW2129591712MaRDI QIDQ3008484

M. R. Grasselli, Sara Biagini, Marco Frittelli

Publication date: 16 June 2011

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

Full work available at URL: https://arxiv.org/abs/0905.4657

zbMATH Keywords

incomplete marketOrlicz spaceconvex dualityrandom endowmentutility maximizationconvex risk measureindifference pricenon locally bounded semimartingale

Mathematics Subject Classification ID

Related Items (18)

PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS ⋮ On utility maximization without passing by the dual problem ⋮ Forward-backward systems for expected utility maximization ⋮ A note on utility maximization with unbounded random endowment ⋮ Expected Utility Maximization for Exponential Lévy Models with Option and Information Processes ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Utility maximization problem in the case of unbounded endowment ⋮ Indifference pricing under SAHARA utility ⋮ Convex duality in optimal investment under illiquidity ⋮ Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities ⋮ Explicit Representations for Utility Indifference Prices ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ On the dual problem of utility maximization in incomplete markets ⋮ Utility Maximization with Proportional Transaction Costs Under Model Uncertainty ⋮ On fairness of systemic risk measures ⋮ CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS ⋮ Constrained nonsmooth utility maximization on the positive real line

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