The pricing of contingent claims and optimal positions in asymptotically complete markets

DOI10.1214/16-AAP1246zbMath1414.91360arXiv1509.06210MaRDI QIDQ2403142

Scott Robertson, Michail Anthropelos, Konstantinos V. Spiliopoulos

Publication date: 15 September 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.06210

zbMATH Keywords

incomplete marketsutility functionsindifference pricinglarge position size

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact ⋮ Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire ⋮ Optimal investment, derivative demand, and arbitrage under price impact ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model

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