scientific article; zbMATH DE number 5856148

zbMATH Open1224.91027MaRDI QIDQ3076261FDOQ3076261

Authors: Ya. Yatsenko 

Publication date: 22 February 2011

Title of this publication is not available (Why is that?)

Recommendations

• scientific article; zbMATH DE number 7564067
• Utility maximization in a jump market model
• On utility maximization in discrete-time financial market models
• Maximizing expected utility in the arbitrage pricing model
• Maximization of nonconcave utility functions in discrete-time financial market models
• Bellman equations for terminal utility maximization with general bid and ask prices
• Utility maximization in markets with bid-ask spreads
• Logarithmic utility maximization in an exponential Lévy model
• Utility maximization in affine stochastic volatility models
• Utility maximization in a binomial model with transaction costs: a duality approach based on the shadow price process

zbMATH Keywords

binomial modelexponential utility functioncomplete market

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3076261)