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
Authors: J. Hugonnier, Dmitry Kramkov, Walter Schachermayer 
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)
Cites Work
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- 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 (63)
- Overview of utility-based valuation
- A note on utility-based pricing
- Facelifting in utility maximization
- On dynamic programming equations for utility indifference pricing under delta constraints
- Optimal investment and contingent claim valuation in illiquid markets
- Corrections to the prices of derivatives due to market incompleteness
- 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
- Do arbitrage-free prices come from utility maximization?
- 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
- Valuation and parities for exchange options
- Claim pricing and hedging under market incompleteness and ``mean-variance preferences
- Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
- 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
- On agent's agreement and partial-equilibrium pricing in incomplete markets
- Indifference pricing for CRRA utilities
- Relative and discrete utility maximising entropy
- Emergence of fuzzy preferences for risk in a Birkhoff-von Neumann logics environment
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- 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
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- Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
- Parametric estimation of risk neutral density functions
- Dynamic surplus optimization with performance- and index-linked liabilities
- Optimal investment and price dependence in a semi-static market
- On utility-based derivative pricing with and without intermediate trades
- Conditional Davis pricing
- Pricing with non-smooth utility function
- Pricing and hedging in the presence of extraneous risks
- Optimal investment with random endowments and transaction costs: duality theory and shadow prices
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- STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
- 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
- Optimal investment with intermediate consumption and random endowment
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- The information premium on a finite probability space
- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
- Valuation of general contingent claims with short selling bans: an equal-risk pricing approach
- Using Utility Functions to Model Risky Bonds
- Pricing of contingent claims in large markets
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