Pricing with non-smooth utility function
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Publication:3396066
DOI10.1080/17442500902917250zbMath1187.91073MaRDI QIDQ3396066
Jaleleddine Ben Amor, Abdelhamid Trad
Publication date: 16 September 2009
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500902917250
incomplete market; convex duality; marginal rate of substitution; fair price; pricing problem; utility price
90C46: Optimality conditions and duality in mathematical programming
91B16: Utility theory
91G20: Derivative securities (option pricing, hedging, etc.)
46N10: Applications of functional analysis in optimization, convex analysis, mathematical programming, economics
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