Pricing a nontradeable asset and its derivatives.

DOI10.1023/B:JOTA.0000037600.85025.DBMaRDI QIDQ703158zbMATH OpenOpenAlexFDO

Authors David G. Luenberger

Publication date 11 January 2005

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/b:jota.0000037600.85025.db

zbMATH Keywords

replicationreal options

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 1222796 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A comparison of two quadratic approaches to hedging in incomplete markets
• A correlation pricing formula.
• Arbitrage and universal pricing.
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Pricing a nontradeable asset and its derivatives.
• Projection pricing
• The pricing of options and corporate liabilities

Cited in

(15)

• Zero-level pricing method with transaction cost
• Hedging interest rate risk by optimization in Banach spaces
• Derivative pricing with non-linear Fokker-Planck dynamics
• A geometric framework for nonconvex optimization duality using augmented Lagrangian functions
• Risk-neutral valuation with infinitely many trading dates
• The no-arbitrage pricing of non-traded assets
• Sequential arbitrage measurements and interest rate envelopes
• Optimizing a multi-stage production/inventory system by DC programming based approaches
• A stochastic programming model for the thermal optimal day-ahead bid problem with physical futures contracts
• Pricing a nontradeable asset and its derivatives.
• A convex version of multivariate adaptive regression splines
• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
• Nonconvex optimization for pricing and hedging in imperfect markets
• Pricing dynamic binary variables and their derivatives
• scientific article; zbMATH DE number 2133109 (Why is no real title available?)

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