Conditional Davis pricing

DOI10.1007/s00780-020-00424-5zbMath1461.91316arXiv1702.02087OpenAlexW2603560820MaRDI QIDQ784731

D. Kharzeev

Publication date: 3 August 2020

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

Full work available at URL: https://arxiv.org/abs/1702.02087

zbMATH Keywords

stochastic optimizationincomplete marketsderivatives pricingDavis pricesutility-based pricing

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Related Items (1)

Optimal investment with random endowments and transaction costs: duality theory and shadow prices

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