Bounds for the utility-indifference prices of non-traded assets in incomplete markets
Year of publication: |
2005
|
---|---|
Authors: | Hobson, David G. |
Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 28.2005, 1, p. 33-52
|
Subject: | Optionspreistheorie | Option pricing theory | Unvollkommener Markt | Incomplete market | Erwartungsnutzen | Expected utility | Stochastischer Prozess | Stochastic process | Theorie | Theory |
-
Optimal investment with an unbounded random endowment and utility-based pricing
Owen, Mark P., (2009)
-
Option pricing in discrete-time incomplete market models
Stettner, Lukasz, (2000)
-
Utility-based derivative pricing in incomplete markets
Kallsen, Jan, (2002)
- More ...
-
Optimal timing for an indivisible asset sale
Evans, Jonathan, (2008)
-
Utility indifference pricing : an overview
Henderson, Vicky, (2009)
-
A note on irreversible investment, hedging and optimal consumption problems
Henderson, Vicky, (2006)
- More ...