A note on utility indifference pricing (Q2828052): Difference between revisions

@@ label / en / label / en @@
-A NOTE ON UTILITY INDIFFERENCE PRICING
+A note on utility indifference pricing
@@ description / en / description / en @@
-scientific article
+scientific article; zbMATH DE number 6642664
@@ Property / title @@
-A NOTE ON UTILITY INDIFFERENCE PRICING (English)
@@ Property / title: A NOTE ON UTILITY INDIFFERENCE PRICING (English) / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
+Normal rank
@@ Property / cites work @@
+Q3613976
@@ Property / cites work: Q3613976 / rank @@
+Normal rank
@@ Property / cites work @@
+Utility–indifference hedging and valuation via reaction–diffusion systems
+Normal rank
@@ Property / cites work @@
+Stochastic Integration with Jumps
@@ Property / cites work: Stochastic Integration with Jumps / rank @@
+Normal rank
@@ Property / cites work @@
+Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
+Normal rank
@@ Property / cites work @@
+Q5493542
@@ Property / cites work: Q5493542 / rank @@
+Normal rank
@@ Property / cites work @@
+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Q4868513
@@ Property / cites work: Q4868513 / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential Hedging and Entropic Penalties
@@ Property / cites work: Exponential Hedging and Entropic Penalties / rank @@
+Normal rank
@@ Property / cites work @@
+Q4283467
@@ Property / cites work: Q4283467 / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging in incomplete markets with HARA utility
@@ Property / cites work: Hedging in incomplete markets with HARA utility / rank @@
+Normal rank
@@ Property / cites work @@
+Q3400710
@@ Property / cites work: Q3400710 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk aversion and block exercise of executive stock options
+Normal rank
@@ Property / cites work @@
+Indifference Pricing and Hedging for Volatility Derivatives
+Normal rank
@@ Property / cites work @@
+Valuing the option to invest in an incomplete market
+Normal rank
@@ Property / cites work @@
+Q3613975
@@ Property / cites work: Q3613975 / rank @@
+Normal rank
@@ Property / cites work @@
+ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
+Normal rank
@@ Property / cites work @@
+Heavy-tailed distributions and robustness in economics and finance
+Normal rank
@@ Property / cites work @@
+OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
+Normal rank
@@ Property / cites work @@
+On utility-based derivative pricing with and without intermediate trades
+Normal rank
@@ Property / cites work @@
+Asymptotic utility-based pricing and hedging for exponential utility
+Normal rank
@@ Property / cites work @@
+On the pricing of contingent claims under constraints
+Normal rank
@@ Property / cites work @@
+Optimal investment with random endowments in incomplete markets.
+Normal rank
@@ Property / cites work @@
+ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Simulations of transaction costs and optimal rehedging
+Normal rank
@@ Property / cites work @@
+Characterisation of optimal dual measures via distortion
+Normal rank
@@ Property / cites work @@
+OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
+Normal rank
@@ Property / cites work @@
+Utility indifference hedging with exponential additive processes
+Normal rank
@@ Property / cites work @@
+A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model''
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024916500370
+Normal rank
@@ Property / OpenAlex ID @@
+W2395806415
@@ Property / OpenAlex ID: W2395806415 / rank @@
+Normal rank
@@ Property / title @@
+A note on utility indifference pricing (English)
@@ Property / title: A note on utility indifference pricing (English) / rank @@
+Normal rank