Utility indifference pricing with market incompleteness

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...

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Bibliografiske detaljer
Hovedforfatter:	Monoyios, M
Andre forfattere:	Ehrhardt, M
Format:	Book section
Sprog:	English
Udgivet:	Nova Science Publishers 2008

Lignende værker

Pseudo linear pricing rule for utility indifference valuation
af: Henderson, V, et al.
Udgivet: (2014)

Utility indifference
af: Armstrong, S
Udgivet: (2010)

The minimal entropy measure and an Esscher transform in an incomplete market model
af: Monoyios, M
Udgivet: (2007)

The minimal entropy measure and an Esscher transform in an incomplete market model
af: Monoyios, M
Udgivet: (2007)

The minimal entropy measure and an Esscher transform in an incomplete market model
af: Monoyios, M
Udgivet: (2005)

Time inconsistent portfolio selection and indifference pricing
af: Li, S
Udgivet: (2017)

Options Prices in Incomplete Markets*
af: Jacod Jean, et al.
Udgivet: (2017-06-01)

Utility indifference pricing and hedging - Temperature modeling and its significance in the construction of weather derivatives
af: Anastiasiades, G
Udgivet: (2009)

Indifference Price and Optimal Hedging Performance for Variance Swaps
af: Chassenieux, T
Udgivet: (2009)

Indifference Pricing in a Basis Risk Model with Stochastic Volatility
af: Lam, K
Udgivet: (2011)

A model for a large investor trading at market indifference prices. II: Continuous-time case
af: Bank, P, et al.
Udgivet: (2015)

A model for a large investor trading at market indifference prices. I: Single-period case
af: Bank, P, et al.
Udgivet: (2015)

Extreme indifference
af: Rocío Lorca, et al.
Udgivet: (2022-04-01)

Indifference and Complicity
af: Sylvia De Castro Korgi
Udgivet: (2014-10-01)

Portfolio Selection in Incomplete Markets with Utility Maximisation
af: Dehaene, C
Udgivet: (2008)

Indifferent to CSR performance? Market liberalization brings about changes
af: Hui Zhou, et al.
Udgivet: (2023-11-01)

On the cardinality of indifference classes
af: Gerhard Herden, et al.
Udgivet: (2004-10-01)

Rejoinder to Block on indifference
af: Igor Wysocki
Udgivet: (2024-12-01)

Response to Wysocki on indifference
af: Walter Block
Udgivet: (2022-11-01)

Quantum computational finance for martingale asset pricing in incomplete markets
af: Patrick Rebentrost, et al.
Udgivet: (2024-08-01)

The range of derivative's arbitrage prices in a general incomplete market
af: Silvia Romagnoli
Udgivet: (2007-10-01)

A Modified Structural Model for Credit Risk – Utility Indifference Valuation.
af: Liang, G, et al.
Udgivet: (2008)

Utility Indifference Valuation for Defaultable Corporate Bond with Credit Rating Migration
af: Zhehao Huang, et al.
Udgivet: (2020-11-01)

Efficient option pricing with transaction costs
af: Monoyios, M
Udgivet: (2003)

Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach
Udgivet: (2003)

Evaluating the effects of incomplete markets on risk sharing nad asset pricing
af: Heaton, John, et al.
Udgivet: (2009)

The problem of evil and moral indifference
af: Mawson, T
Udgivet: (1999)

Indifference as a subversive strategy
af: Leonhard Emmerling
Udgivet: (2006-03-01)

Alex & I: Against Indifference
af: Sumugan Sivanesan
Udgivet: (2016-03-01)

Author Correction: Quantum computational finance for martingale asset pricing in incomplete markets
af: Patrick Rebentrost, et al.
Udgivet: (2024-11-01)

Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets
af: Pornnapat Yamphram, et al.
Udgivet: (2023-02-01)

Option pricing with transaction costs using a Markov chain approximation
af: Monoyios, M
Udgivet: (2004)

Option pricing with transaction costs using a Markov chain approximation
af: Monoyios, M
Udgivet: (2004)

Insight into zone of indifference and power distance.
af: Chow, Shih Ling., et al.
Udgivet: (2008)

Is the universe indifferent? Should we care?
af: Kahane, G
Udgivet: (2021)

Frances Greville’s A Prayer for Indifference
af: Kukkonen, Karin
Udgivet: (2018-12-01)

Riots in Matonge and… the indifference of public authority?
af: Sarah Demart
Udgivet: (2013-07-01)

Human Capital Flight, or the Luxury of Indifference?
af: Rose-Marie Pușcaciu, et al.
Udgivet: (2018-05-01)

Subtle prejudice and conformism: the intergroup indifference
af: Stefano Passini
Udgivet: (2017-01-01)

Subtle prejudice and conformism: the intergroup indifference
af: Stefano Passini
Udgivet: (2017-01-01)