ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS

DOI10.1111/j.1467-9965.2010.00405.xzbMath1198.91080arXiv0803.2198OpenAlexW1865299725MaRDI QIDQ3576956

Gordan Žitković, Michail Anthropelos

Publication date: 3 August 2010

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.2198

zbMATH Keywords

incomplete marketrandom endowmentrisk-aversionsemimartingaleexponential utilitypartial equilibriumindifference pricesconditional indifference prices

Mathematics Subject Classification ID

Special types of economic equilibria (91B52) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (5)

PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS ⋮ Nash Equilibria for Game Contingent Claims with Utility-Based Hedging ⋮ The effect of market power on risk-sharing ⋮ Optimal investment, derivative demand, and arbitrage under price impact ⋮ An Equilibrium Model for Spot and Forward Prices of Commodities

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