Utility indifference pricing with market incompleteness
Utility indifference pricing and hedging theory is presented, showing how it leads to linear or to non-linear pricing rules for contingent claims. Convex duality is first used to derive probabilistic representations for exponential utility-based prices, in a general setting with locally bounded semi...
| المؤلف الرئيسي: | |
|---|---|
| مؤلفون آخرون: | |
| التنسيق: | Book section |
| اللغة: | English |
| منشور في: |
Nova Science Publishers
2008
|