INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS

DOI10.1111/mafi.12137zbMath1403.91324arXiv1410.0384OpenAlexW2962998791MaRDI QIDQ4635044

Scott Robertson, Konstantinos V. Spiliopoulos

Publication date: 13 April 2018

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

Full work available at URL: https://arxiv.org/abs/1410.0384

zbMATH Keywords

incomplete marketlarge deviations theoryindifference priceoptimal positionsvanishing hedging error

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Large deviations (60F10) Portfolio theory (91G10)

Related Items

PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS

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