Overview of utility-based valuation

DOI10.1080/15598608.2011.10412037zbMath1425.91400arXiv1003.5712OpenAlexW1941921697MaRDI QIDQ2324150

David German

Publication date: 13 September 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.5712

zbMATH Keywords

risk-toleranceprice correctionsutility-based prices

Mathematics Subject Classification ID

Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Banach space of workable contingent claims in arbitrage theory
• On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
• Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Optimal investment with random endowments in incomplete markets.
• An example of indifference prices under exponential preferences
• Corrections to the Prices of Derivatives due to Market Incompleteness
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

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