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Publication:2722587
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zbMath0992.91045MaRDI QIDQ2722587

Mark H. A. Davis

Publication date: 12 September 2002


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

hedgingutility maximizationbasis riskpricing formulaoptimal valuation


Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (11)

Hedging with a correlated asset: Solution of a nonlinear pricing PDE ⋮ Rational hedging and valuation of integrated risks under constant absolute risk aversion. ⋮ Performance of utility-based strategies for hedging basis risk ⋮ A revised option pricing formula with the underlying being banned from short selling ⋮ Asymptotic analysis of utility-based hedging strategies for small number of contingent claims ⋮ On dynamic programming equations for utility indifference pricing under delta constraints ⋮ Entropic Conditions and Hedging ⋮ VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION ⋮ OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS ⋮ Option pricing in incomplete markets ⋮ Real options with constant relative risk aversion




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