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

DOI10.1111/j.1467-9965.2010.00405.xzbMath1198.91080arXiv0803.2198MaRDI 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 market; random endowment; risk-aversion; semimartingale; exponential utility; partial equilibrium; indifference prices; conditional indifference prices

Mathematics Subject Classification ID

91B52: Special types of economic equilibria

91G20: Derivative securities (option pricing, hedging, etc.)

91B26: Auctions, bargaining, bidding and selling, and other market models

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