Asymptotic power utility-based pricing and hedging
DOI10.1007/s11579-013-0095-8zbMath1308.91142arXiv0912.3362OpenAlexW2151100785MaRDI QIDQ2257041
Jan Kallsen, Johannes Muhle-Karbe, Richard Vierthauer
Publication date: 23 February 2015
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0912.3362
incomplete marketutility indifference pricerisk premiumpower utility functionmarginal utility-based priceutility-based pricing and hedging
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Individual preferences (91B08) Portfolio theory (91G10)
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