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Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps
Ma, Chenghu - In: Journal of mathematical economics 42 (2006) 2, pp. 131-160
Persistent link: https://www.econbiz.de/10003310857
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Robust utility maximization with Lévy processes
Neufeld, Ariel; Nutz, Marcel - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 82-105
Persistent link: https://www.econbiz.de/10011969154
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Probabilistic aspects of financial risk
Föllmer, Hans - 2000
Problems arising in Finance have become a significant source of new developments in Stochastic Analysis. We discuss some recent case studies, in particular some decomposition and representation theorems which are motivated by problems of hedging derivatives and of intertemporal consumption choice.
Persistent link: https://www.econbiz.de/10009612020
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Probabilistic aspects of financial risk
Föllmer, Hans - 2000
Persistent link: https://www.econbiz.de/10001550562
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Rural land development under hyperbolic discounting : a real option approach
Di Corato, Luca - In: Letters in spatial and resource sciences : LSRS 11 (2018) 2, pp. 167-182
Persistent link: https://www.econbiz.de/10011962460
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The Implied Risk Aversion from Utility Indifference Option Pricing in a Stochastic Volatility Model
Benth, Fred Espen - 2009
The academic interest in utility indifference based approaches to derivative pricing in incomplete markets has grown …-Uhlenbeck process, and price call and put options using the indifference methodology in the case of exponential utility. The purpose of …
Persistent link: https://www.econbiz.de/10013155782
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Explicit representations for utility indifference prices
Hess, Markus - In: Applied mathematical finance 28 (2021) 1, pp. 23-47
Persistent link: https://www.econbiz.de/10012625986
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Zum Glattstellen von Index-Futures : Empirie und stochastische Modelle unter besonderer Berücksichtigung des DAX-Futures
Dorfleitner, Gregor - 1999
Persistent link: https://www.econbiz.de/10001364401
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A discrete-time intertemporal asset pricing model : GE approach with recursive utility
Ma, Chenghu - In: Mathematical finance : an international journal of … 8 (1998) 3, pp. 249-275
Persistent link: https://www.econbiz.de/10001245920
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Sufficient conditions of stochastic dominance for general transformations and its application in option strategy
Gao, Jianwei; Feng, Zhao - 2017
second degree stochastic dominance, proposed by Theorem 5 of Levy (Stochastic dominance and expected utility: Survey and … expected utility: Survey and analysis, 1992), are extended to the most general transformations. Moreover, such criteria are …
Persistent link: https://www.econbiz.de/10011673974