ROBUST EXPONENTIAL HEDGING AND INDIFFERENCE VALUATION
Year of publication: |
2010
|
---|---|
Authors: | OWARI, KEITA |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 13.2010, 07, p. 1075-1101
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Model uncertainty | duality | utility maximization | hedging |
-
Robust utility maximization for complete and incomplete market models
Gundel, Anne, (2005)
-
Utility theory front to back-inferring utility from agents' choices
Cox, Alexander M. G., (2014)
-
Rochlin, Dmitri B., (2013)
- More ...
-
Robust exponential hedging and indifference valuation
Owari, Keita, (2008)
-
Robust exponential hedging in a Brownian setting
Owari, Keita, (2009)
-
A note on utility maximization with unbounded random endowment
Owari, Keita, (2009)
- More ...