On utility-based derivative pricing with and without intermediate trades

DOI10.1524/STND.2006.24.4.415zbMATH Open1151.91447OpenAlexW2124308005MaRDI QIDQ5437383FDOQ5437383

Jan Kallsen, Christoph Kühn

Publication date: 18 January 2008

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://macau.uni-kiel.de/receive/publ_mods_00000335

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Generalizations of martingales (60G48) Utility theory (91B16) Linear function spaces and their duals (46E99)

Cited In (4)

• Derivative pricing based on local utility maximization
• Title not available (Why is that?)
• A note on utility indifference pricing
• OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING

   Recommendations

• Title not available (Why is that?) 👍 👎
• Derivative pricing based on local utility maximization 👍 👎
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS 👍 👎
• Utility based pricing of contingent claims in incomplete markets 👍 👎
• Any-utility neutral and indifference pricing and hedging 👍 👎

This page was built for publication: On utility-based derivative pricing with and without intermediate trades

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5437383)