ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
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Cites work
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Cited in
(63)- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
- Using Utility Functions to Model Risky Bonds
- The information premium on a finite probability space
- Valuation of general contingent claims with short selling bans: an equal-risk pricing approach
- Pricing of contingent claims in large markets
- Equal risk pricing under convex trading constraints
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Claim pricing and hedging under market incompleteness and ``mean-variance preferences
- Optimal investment and contingent claim valuation in illiquid markets
- Bounds for the utility-indifference prices of non-traded assets in incomplete markets
- Corrections to the prices of derivatives due to market incompleteness
- scientific article; zbMATH DE number 3891046 (Why is no real title available?)
- Optimal asset allocation with fixed-term securities
- Existence and uniqueness of martingale solutions to option pricing equations with noise
- Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
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- On Utility-Based Superreplication Prices of Contingent Claims with Unbounded Payoffs
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- Pricing with non-smooth utility function
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- In which financial markets do mutual fund theorems hold true?
- Muckenhoupt's \((A_p)\) condition and the existence of the optimal martingale measure
- Robust utility maximisation with intractable claims
- Do arbitrage-free prices come from utility maximization?
- Indifference pricing for CRRA utilities
- Erratum to: ``Utility maximization in incomplete markets with random endowment
- A note on utility-based pricing
- Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.
- Optimal investment with random endowments and transaction costs: duality theory and shadow prices
- Pricing and hedging in the presence of extraneous risks
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- Optimal investment and consumption with labor income in incomplete markets
- Utility based pricing of contingent claims in incomplete markets
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- Relative and discrete utility maximising entropy
- Valuation and dynamic replication of contingent claims in a general market environment based on the beliefs-preferences gauge symmetry
- On utility maximization in discrete-time financial market models
- A note on utility indifference pricing
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- Facelifting in utility maximization
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- Dynamic surplus optimization with performance- and index-linked liabilities
- Pricing Principle via Tsallis Relative Entropy in Incomplete Markets
- On dynamic programming equations for utility indifference pricing under delta constraints
- Emergence of fuzzy preferences for risk in a Birkhoff-von Neumann logics environment
- Optimal investment with intermediate consumption and random endowment
- On agent's agreement and partial-equilibrium pricing in incomplete markets
- Contingent claim pricing through a continuous time variational bargaining scheme
- Valuation and parities for exchange options
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