DO ARBITRAGE‐FREE PRICES COME FROM UTILITY MAXIMIZATION?

DOI10.1111/mafi.12066zbMath1360.91144arXiv1207.4749OpenAlexW2159798116MaRDI QIDQ5739191

Pietro Siorpaes

Publication date: 15 July 2016

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

Full work available at URL: https://arxiv.org/abs/1207.4749

zbMATH Keywords

incomplete marketsutility-based pricingarbitrage free

Mathematics Subject Classification ID

Convex programming (90C25) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Optimal consumption of multiple goods in incomplete markets, Utility maximization with a given pricing measure when the utility is not necessarily concave, Optimal investment, derivative demand, and arbitrage under price impact, OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT, Optimal investment and price dependence in a semi-static market, Conditional Davis pricing

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