Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.

DOI10.1016/S0167-6687(02)00151-8zbMath1070.91503MaRDI QIDQ1413354

Christoph Kühn

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

HedgingAmerican optionsInsuranceExponential utility

Mathematics Subject Classification ID

Utility theory (91B16) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

Game contingent claims in complete and incomplete markets

Cites Work

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• On the pricing of American options
• Mathematics of financial markets
• Hedging American contingent claims with constrained portfolios
• Optimal investment in incomplete markets when wealth may become negative.
• A Martingale Representation Result and an Application to Incomplete Financial Markets
• Exponential Hedging and Entropic Penalties
• On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
• From actuarial to financial valuation principles

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