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...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoir:	Monoyios, M
Rannpháirtithe:	Ehrhardt, M
Formáid:	Book section
Teanga:	English
Foilsithe / Cruthaithe:	Nova Science Publishers 2008

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