Pricing a nontradeable asset and its derivatives.

DOI10.1023/B:JOTA.0000037600.85025.DBzbMATH Open1090.91044OpenAlexW1989911064MaRDI QIDQ703158FDOQ703158

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

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zbMATH Keywords

replicationreal options

Mathematics Subject Classification ID

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• A comparison of two quadratic approaches to hedging in incomplete markets
• Title not available (Why is that?)
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Projection pricing
• Pricing a nontradeable asset and its derivatives.
• Arbitrage and universal pricing.
• A correlation pricing formula.

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
• Title not available (Why is that?)

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