Zero-level pricing and the HARA utility functions

DOI10.1007/S10957-008-9420-4zbMath1161.91013OpenAlexW2079715201WikidataQ57700622 ScholiaQ57700622MaRDI QIDQ1014025

J. Martínez

Publication date: 24 April 2009

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-008-9420-4

zbMATH Keywords

asset pricingmaximizationhyperbolic absolute risk aversion utilityzero-level pricing

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

Zero-level pricing method with transaction cost

Cites Work

• Arbitrage and universal pricing.
• Valuing Risky Projects: Option Pricing Theory and Decision Analysis

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