ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
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Publication:3370586
DOI10.1111/J.0960-1627.2005.00217.XzbMATH Open1124.91338OpenAlexW3122216790MaRDI QIDQ3370586FDOQ3370586
Dmitry Kramkov, Walter Schachermayer, J. Hugonnier
Publication date: 8 February 2006
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.133.7765
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- scientific article; zbMATH DE number 1724299
Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with discrete parameter (60G42) Utility theory (91B16) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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- The Banach space of workable contingent claims in arbitrage theory
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Cited In (59)
- The information premium on a finite probability space
- VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH
- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
- Pricing of contingent claims in large markets
- Overview of utility-based valuation
- A note on utility-based pricing
- OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS
- Facelifting in utility maximization
- On dynamic programming equations for utility indifference pricing under delta constraints
- Optimal investment and contingent claim valuation in illiquid markets
- Title not available (Why is that?)
- Existence and uniqueness of martingale solutions to option pricing equations with noise
- The price of risk with incomplete knowledge on the utility function
- Zero-level pricing method with transaction cost
- In which financial markets do mutual fund theorems hold true?
- Erratum to: ``Utility maximization in incomplete markets with random endowment
- On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations
- Robust utility maximisation with intractable claims
- Valuation and dynamic replication of contingent claims in a general market environment based on the beliefs-preferences gauge symmetry
- On Utility-Based Superreplication Prices of Contingent Claims with Unbounded Payoffs
- OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT
- Claim pricing and hedging under market incompleteness and ``mean-variance preferences
- Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
- Bounds for the utility-indifference prices of non-traded assets in incomplete markets
- Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.
- A convex duality approach for pricing contingent claims under partial information and short selling constraints
- Title not available (Why is that?)
- Muckenhoupt's \((A_p)\) condition and the existence of the optimal martingale measure
- Price systems constructed by optimal dynamic portfolios.
- Utility based pricing of contingent claims in incomplete markets
- Indifference pricing for CRRA utilities
- Emergence of fuzzy preferences for risk in a Birkhoff-von Neumann logics environment
- Optimal asset allocation with fixed-term securities
- Sensitivity analysis of the utility maximisation problem with respect to model perturbations
- Equal risk pricing under convex trading constraints
- On utility maximization in discrete-time financial market models
- A note on utility indifference pricing
- A note on utility maximization with unbounded random endowment
- Optimal investment with random endowments in incomplete markets.
- Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
- Dynamic surplus optimization with performance- and index-linked liabilities
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- Using Utility Functions to Model Risky Bonds
- On utility-based derivative pricing with and without intermediate trades
- Conditional Davis pricing
- Pricing and hedging in the presence of extraneous risks
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- Risk measure pricing and hedging in incomplete markets
- Optimal investment and consumption with labor income in incomplete markets
- Pricing Principle via Tsallis Relative Entropy in Incomplete Markets
- ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS
- DO ARBITRAGE‐FREE PRICES COME FROM UTILITY MAXIMIZATION?
- Valuation and Parities for Exchange Options
- STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
- Relative and Discrete Utility Maximising Entropy
- OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
- Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming
- Parametric Estimation of Risk Neutral Density Functions
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
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