A note on utility based pricing and asymptotic risk diversification
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Publication:1938975
DOI10.1007/s11579-011-0055-0zbMath1257.91025OpenAlexW2143141434MaRDI QIDQ1938975
Romuald Elie, Ludovic Moreau, Bruno Bouchard
Publication date: 26 February 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-011-0055-0
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Related Items (4)
PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS ⋮ MAX–MIN OPTIMIZATION PROBLEM FOR VARIABLE ANNUITIES PRICING ⋮ Simple bounds for utility maximization with small transaction costs ⋮ INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS
Cites Work
- Risk-averse asymptotics for reservation prices
- On convergence properties of Shannon entropy
- I-divergence geometry of probability distributions and minimization problems
- A general version of the fundamental theorem of asset pricing
- Mortality derivatives and the option to annuitise.
- Rational hedging and valuation of integrated risks under constant absolute risk aversion.
- Utility based optimal hedging in incomplete markets.
- Dual formulation of the utility maximization problem: the case of nonsmooth utility.
- Pricing Via Utility Maximization and Entropy
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Exponential Hedging and Entropic Penalties
- Guaranteed Annuity Options
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