Derivative pricing based on local utility maximization

DOI10.1007/s780-002-8403-xzbMath1007.91020OpenAlexW2012664904MaRDI QIDQ1848534

Jan Kallsen

Publication date: 21 November 2002

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s780-002-8403-x

zbMATH Keywords

incomplete marketoption pricinglocal utilityneutral derivative pricesensitivity process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (20)

Using Utility Functions to Model Risky Bonds ⋮ Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire ⋮ Trading with small nonlinear price impact ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model ⋮ Time-consistent mean-variance portfolio selection in discrete and continuous time ⋮ On utility maximization under convex portfolio constraints ⋮ A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS ⋮ A revised option pricing formula with the underlying being banned from short selling ⋮ Risk measure pricing and hedging in incomplete markets ⋮ Optimal rebalancing frequencies for multidimensional portfolios ⋮ A note on admissibility when the credit line is infinite ⋮ DO ARBITRAGE‐FREE PRICES COME FROM UTILITY MAXIMIZATION? ⋮ Equilibrium asset pricing with transaction costs ⋮ OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING ⋮ Sensitivity analysis of utility-based prices and risk-tolerance wealth processes ⋮ Minimal Hellinger martingale measures of order \(q\) ⋮ ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS ⋮ MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE ⋮ HEDGING BY SEQUENTIAL REGRESSIONS REVISITED

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