Corrections to the Prices of Derivatives due to Market Incompleteness

DOI10.1080/1350486X.2010.493709zbMath1222.91060MaRDI QIDQ3004481

David German

Publication date: 3 June 2011

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilitycredit riskbasis riskrisk toleranceprice corrections

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Related Items (1)

Overview of utility-based valuation

Cites Work

• The Pricing of Options and Corporate Liabilities
• 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 asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Real options with constant relative risk aversion
• An example of indifference prices under exponential preferences
• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

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