Pricing of contingent claims in large markets

DOI10.1007/S00780-024-00554-0MaRDI QIDQ6659481FDOQ6659481

Authors: Oleksii Mostovyi, Pietro Siorpaes 

Publication date: 9 January 2025

Published in: Finance and Stochastics (Search for Journal in Brave)

Recommendations

• Pricing for large positions in contingent claims
• The pricing of contingent claims and optimal positions in asymptotically complete markets
• Asymptotic pricing in large financial markets
• Indifference pricing for contingent claims: large deviations effects
• From small markets to big markets

zbMATH Keywords

semimartingaleincomplete marketduality theoryindifference pricinglarge marketarbitrage-free pricingutility-based pricingfair pricingasymptotic replicabilityDavis pricinginfinite-dimensional stochastic control

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial markets (91G15) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial science and mathematical finance (91Gxx) Optimal stochastic control (93E20)

Cites Work

• Convex Analysis
• The fundamental theorem of asset pricing for unbounded stochastic processes
• Asymptotic arbitrage in large financial markets
• Asymptotic arbitrage with small transaction costs
• A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
• Optimal investment with random endowments in incomplete markets.
• A new perspective on the fundamental theorem of asset pricing for large financial markets
• Title not available (Why is that?)
• A theory of stochastic integration for bond markets
• Super-replication and utility maximization in large financial markets
• Title not available (Why is that?)
• Do arbitrage-free prices come from utility maximization?
• A theory of bond portfolios
• A fundamental theorem of asset pricing for large financial markets.
• Stochastic integration with respect to a sequence of semimartingales
• Optimal portfolio choice in the bond market
• Optimal investment with intermediate consumption and random endowment
• Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
• A characterization of hedging portfolios for interest rate contingent claims.
• UTILITY MAXIMIZATION IN A LARGE MARKET
• Diversified Portfolios in Continuous Time *
• Market free lunch and large financial markets
• Free lunch large financial markets with continuous price processes
• The pricing of contingent claims and optimal positions in asymptotically complete markets
• Large Financial Markets, Discounting, and No Asymptotic Arbitrage
• Optimal investment and consumption with labor income in incomplete markets
• Indifference pricing for contingent claims: large deviations effects
• On the analyticity of the value function in optimal investment and stochastically dominant markets
• Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance

This page was built for publication: Pricing of contingent claims in large markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6659481)