A note on utility-based pricing in models with transaction costs

DOI10.1007/s11579-015-0143-7zbMath1319.91140OpenAlexW3124891852MaRDI QIDQ2351403

Mark H. A. Davis, Daisuke Yoshikawa

Publication date: 23 June 2015

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/42516

zbMATH Keywords

exponential utilityindifference pricingutility-based pricingmarket equilibrium of contingent claimsmarket with transaction costs

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

A note on utility-based pricing

Cites Work

• Unnamed Item
• Unnamed Item
• Multivariate utility maximization with proportional transaction costs
• Markets with transaction costs. Mathematical theory.
• Hedging and liquidation under transaction costs in currency markets
• Utility maximization on the real line under proportional transaction costs
• Option pricing by large risk aversion utility under transaction costs
• Optimal investment with random endowments in incomplete markets.
• A note on utility-based pricing
• Multivariate Utility Maximization with Proportional Transaction Costs and Random Endowment
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
• Convex Analysis
• On optimal terminal wealth under transaction costs

This page was built for publication: A note on utility-based pricing in models with transaction costs