Pages that link to "Item:Q2707148"
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The following pages link to Pricing via utility maximization and entropy. (Q2707148):
Displaying 42 items.
- Optimal design of derivatives in illiquid markets* (Q4646780) (← links)
- Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures (Q4682472) (← links)
- RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (Q4906515) (← links)
- Forward Exponential Indifference Valuation in an Incomplete Binomial Model (Q4976504) (← links)
- Bond indifference prices (Q5014252) (← links)
- Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem (Q5021120) (← links)
- Solution of the HJB Equations Involved in Utility-Based Pricing (Q5038268) (← links)
- BSDEs and Enlargement of Filtration (Q5038296) (← links)
- N-Player and Mean-Field Games in Itˆo-Diffusion Markets with Competitive or Homophilous Interaction (Q5050086) (← links)
- Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality (Q5050088) (← links)
- A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators (Q5081645) (← links)
- Quadratic reflected BSDEs and related obstacle problems for PDEs (Q5085597) (← links)
- Explicit Representations for Utility Indifference Prices (Q5165000) (← links)
- An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians (Q5208749) (← links)
- Regulation of Renewable Resource Exploitation (Q5218227) (← links)
- OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS (Q5247420) (← links)
- ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL (Q5247421) (← links)
- Robust Portfolio Choice and Indifference Valuation (Q5247614) (← links)
- A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (Q5254475) (← links)
- Equilibrium Pricing Under Relative Performance Concerns (Q5280244) (← links)
- PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS (Q5283402) (← links)
- A fuzzy approach to option pricing in a Levy process setting (Q5396437) (← links)
- Entropic Conditions and Hedging (Q5429599) (← links)
- Backward SDEs for control with partial information (Q5743122) (← links)
- OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS (Q5866972) (← links)
- VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH (Q5866979) (← links)
- Pricing Principle via Tsallis Relative Entropy in Incomplete Markets (Q5886365) (← links)
- Utility indifference pricing of derivatives written on industrial loss indices (Q5964595) (← links)
- Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework (Q6054138) (← links)
- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets (Q6054387) (← links)
- Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach (Q6054412) (← links)
- On the uniqueness result for the BSDE with deterministic coefficient (Q6064072) (← links)
- Robust utility maximisation with intractable claims (Q6074011) (← links)
- Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints (Q6090959) (← links)
- Risk-sharing and optimal contracts with large exogenous risks (Q6098176) (← links)
- Numerical methods for backward stochastic differential equations: a survey (Q6158181) (← links)
- Crypto quanto and inverse options (Q6187362) (← links)
- Relative wealth concerns with partial information and heterogeneous priors (Q6542562) (← links)
- Efficient approximations for utility-based pricing (Q6549635) (← links)
- On entropy martingale optimal transport theory (Q6581903) (← links)
- Forward indifference valuation for dynamically incoming projects (Q6586872) (← links)
- Optimal consumption-investment with constraints in a regime switching market with random coefficients (Q6657501) (← links)