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Hedging in incomplete markets with HARA utility
Duffie, Darrell; Fleming, Wendell; Mete Soner, H.; … - In: Journal of economic dynamics & control 21 (1997) 4-5, pp. 753-782
Persistent link: https://www.econbiz.de/10006792640
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Computation of distorted probabilities for diffusion processes via stochastic control methods
Young, Virginia R.; Zariphopoulou, Thaleia - In: Insurance / Mathematics & economics 27 (2000) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10006906965
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A valuation algorithm for indifference prices in incomplete markets
Musiela, Marek; Zariphopoulou, Thaleia - In: Finance and stochastics 8 (2004) 3, pp. 399-414
Persistent link: https://www.econbiz.de/10008214760
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An example of indifference prices under exponential preferences
Musiela, Marek; Zariphopoulou, Thaleia - In: Finance and stochastics 8 (2004) 2, pp. 229-240
Persistent link: https://www.econbiz.de/10008214885
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ARTICLES - Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
Constantinides, George M.; Zariphopoulou, Thaleia - In: Mathematical finance : an international journal of … 11 (2001) 3, pp. 331-346
Persistent link: https://www.econbiz.de/10008216987
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A solution approach to valuation with unhedgeable risks
Zariphopoulou, Thaleia - In: Finance and stochastics 5 (2001) 1, pp. 61-82
Persistent link: https://www.econbiz.de/10008217236
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On Level Curves of Value Functions in Optimization Models of Expected Utility
Tiu, Cristian-Ioan; Zariphopoulou, Thaleia - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 323
Persistent link: https://www.econbiz.de/10008217824
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Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
Constantinides, George M.; Zariphopoulou, Thaleia - In: Finance and stochastics 3 (1999) 3, pp. 345
Persistent link: https://www.econbiz.de/10008218068
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Turnpike behavior of long-term investments
Huang, Chi-fu; Zariphopoulou, Thaleia - In: Finance and stochastics 3 (1999) 1, pp. 15-34
Persistent link: https://www.econbiz.de/10008218084
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Optimal Environmental Management in the Presence of Irreversibilities
Scheinkman, José A.; Zariphopoulou, Thaleia - In: Journal of economic theory 96 (2001) 1, pp. 180-207
Persistent link: https://www.econbiz.de/10007672759