Pricing with non-smooth utility function

DOI10.1080/17442500902917250zbMath1187.91073OpenAlexW2057581873MaRDI QIDQ3396066

Abdelhamid Trad, Jaleleddine Ben Amor

Publication date: 16 September 2009

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500902917250

zbMATH Keywords

incomplete marketconvex dualitymarginal rate of substitutionfair pricepricing problemutility price

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Cites Work

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• The Banach space of workable contingent claims in arbitrage theory
• Martingales and stochastic integrals in the theory of continuous trading
• Optional decompositions under constraints
• Valuation and martingale properties of shadow prices: an exposition
• On the pricing of contingent claims under constraints
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets

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