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Search: subject:"Utility indifference"
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utility indifference pricing
20
Utility indifference pricing
18
Option pricing theory
15
Optionspreistheorie
15
Incomplete market
13
Unvollkommener Markt
12
Martingal
11
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Utility indifference price
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transaction costs
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ECONIS (ZBW)
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61
Utility maximization under increasing risk aversion in one-period models
Cheridito, Patrick
;
Summer, Christopher
- In:
Finance and Stochastics
10
(
2006
)
1
,
pp. 147-158
It has been shown at different levels of generality that under increasing risk aversion
utility
indifference
sell …
Persistent link: https://www.econbiz.de/10005166851
Saved in:
62
Risk measure pricing and hedging in incomplete markets
Xu, Mingxin
- In:
Annals of Finance
2
(
2006
)
1
,
pp. 51-71
Persistent link: https://www.econbiz.de/10005542182
Saved in:
63
PRICING PRECIPITATION BASED DERIVATIVES
CARMONA, RENÉ
;
DIKO, PAVEL
- In:
International Journal of Theoretical and Applied …
08
(
2005
)
07
,
pp. 959-988
price dynamics are influenced by the precipitation at the location in question, and we rely on the
utility
indifference
…
Persistent link: https://www.econbiz.de/10004977454
Saved in:
64
Risk Measure Pricing and Hedging in Incomplete Markets
Xu, Mingxin
-
EconWPA
-
2004
evaluated by risk measure pricing rules are indeed risk-efficient. Relationships to
utility
indifference
pricing and pricing by …
Persistent link: https://www.econbiz.de/10005134826
Saved in:
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