Bounds for the utility-indifference prices of non-traded assets in incomplete markets

DOI10.1007/S10203-005-0053-XMaRDI QIDQ816441zbMATH OpenOpenAlexFDO

Authors David Hobson

Publication date 9 March 2006

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-005-0053-x

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Utility theory (91B16)

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Cites work

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• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
• Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
• Bounds on European option prices under stochastic volatility
• Exponential Hedging and Entropic Penalties
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Mean-variance hedging for continuous processes: New proofs and examples
• Mean-variance hedging in continuous time
• Minimax and minimal distance martingale measures and their relationship to portfolio optimization
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• Option pricing by large risk aversion utility under transaction costs
• Real options with constant relative risk aversion
• THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS
• The Banach space of workable contingent claims in arbitrage theory
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Utility maximization in incomplete markets with random endowment
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

Cited in

(12)

• Uniqueness of asset prices in an exchange economy with unbounded utility
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• Utility-based hedging and pricing with a nontraded asset for jump processes
• Utility indifference valuation for non-smooth payoffs with an application to power derivatives
• A structural risk-neutral model for pricing and hedging power derivatives
• Pricing with non-smooth utility function
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• scientific article; zbMATH DE number 2127977 (Why is no real title available?)
• Do arbitrage-free prices come from utility maximization?
• scientific article; zbMATH DE number 2133109 (Why is no real title available?)
• Valuation of power plants by utility indifference and numerical computation
• GARCH options via local risk minimization

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