Arbitrage and universal pricing.

DOI10.1016/S0165-1889(01)00087-2zbMath1100.91523OpenAlexW2117234703MaRDI QIDQ1605214

David G. Luenberger

Publication date: 15 July 2002

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(01)00087-2

zbMATH Keywords

Arbitrage pricingZero-level pricing

Mathematics Subject Classification ID

Related Items (5)

Zero-level pricing method with transaction cost ⋮ Pricing a nontradeable asset and its derivatives. ⋮ Zero-level pricing and the HARA utility functions ⋮ A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy ⋮ Pricing dynamic binary variables and their derivatives

Cites Work

• A preference foundation for log mean-variance criteria in portfolio choice problems
• Martingales and arbitrage in multiperiod securities markets
• Valuing Risky Projects: Option Pricing Theory and Decision Analysis
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