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

DOI10.1007/S10203-005-0053-XzbMATH Open1125.91346OpenAlexW1964226766MaRDI QIDQ816441FDOQ816441

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

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Mathematics Subject Classification ID

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

Cites Work

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• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
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• Real options with constant relative risk aversion
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• Minimax and minimal distance martingale measures and their relationship to portfolio optimization
• The Banach space of workable contingent claims in arbitrage theory
• THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS
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Cited In (12)

• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• Title not available (Why is that?)
• Do arbitrage-free prices come from utility maximization?
• Utility indifference valuation for non-smooth payoffs with an application to power derivatives
• Utility-based hedging and pricing with a nontraded asset for jump processes
• GARCH options via local risk minimization
• Valuation of power plants by utility indifference and numerical computation
• Pricing with non-smooth utility function
• A structural risk-neutral model for pricing and hedging power derivatives
• Uniqueness of asset prices in an exchange economy with unbounded utility
• Title not available (Why is that?)
• Title not available (Why is that?)

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