ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS

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)

Cites Work

The asymptotic elasticity of utility functions and optimal investment in incomplete markets
Optimal investment in incomplete markets when wealth may become negative.
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On the Existence of Minimax Martingale Measures
Introduction to a theory of value coherent with the no-arbitrage principle
On the pricing of contingent claims under constraints
The Banach space of workable contingent claims in arbitrage theory
Valuation and martingale properties of shadow prices: an exposition
Derivative pricing based on local utility maximization

Cited In (52)

The information premium on a finite probability space
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
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
VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH
Claim pricing and hedging under market incompleteness and ``mean-variance preferences
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
Bounds for the utility-indifference prices of non-traded assets in incomplete markets
A convex duality approach for pricing contingent claims under partial information and short selling constraints
Muckenhoupt's \((A_p)\) condition and the existence of the optimal martingale measure
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
Optimal investment and price dependence in a semi-static market
Using Utility Functions to Model Risky Bonds
Conditional Davis pricing
Pricing and hedging in the presence of extraneous risks
Optimal investment with random endowments and transaction costs: duality theory and shadow prices
Risk measure pricing and hedging in incomplete markets
Optimal investment and consumption with labor income 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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