Pricing and hedging basis risk under no good deal assumption
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Publication:470724
DOI10.1007/s10436-013-0246-1zbMath1298.91159OpenAlexW2240612422MaRDI QIDQ470724
Laurence Carassus, Emmanuel Temam
Publication date: 13 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-013-0246-1
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- Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
- Mean-variance hedging in continuous time
- Mean-variance hedging for general claims
- A general version of the fundamental theorem of asset pricing
- Mean-Variance Hedging and Numeraire
- Dynamic utility-based good deal bounds
- Pricing with Coherent Risk
- Towards a General Theory of Good-Deal Bounds*
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