Optimal investment and price dependence in a semi-static market
From MaRDI portal
Publication:486934
DOI10.1007/s00780-014-0245-8zbMath1312.91083arXiv1303.0237OpenAlexW2145100155MaRDI QIDQ486934
Publication date: 19 January 2015
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1303.0237
incomplete marketwell-posed problemconvex dualityoptimal investmentprice dependencesemi-static market
Utility theory (91B16) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20) Duality theory (optimization) (49N15) Portfolio theory (91G10)
Related Items (5)
PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS ⋮ Optimal consumption of multiple goods in incomplete markets ⋮ INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS ⋮ DO ARBITRAGE‐FREE PRICES COME FROM UTILITY MAXIMIZATION? ⋮ Utility Maximization When Shorting American Options
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Banach space of workable contingent claims in arbitrage theory
- Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
- The fundamental theorem of asset pricing for unbounded stochastic processes
- A general version of the fundamental theorem of asset pricing
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions
- Real options with constant relative risk aversion
- Optimal investment with random endowments in incomplete markets.
- Convergence of utility functions and convergence of optimal strategies
- On utility maximization under convex portfolio constraints
- The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints
- Arbitrage-free market models for option prices: the multi-strike case
- Risk-neutral compatibility with option prices
- Stability of utility-maximization in incomplete markets
- Optimal investment with derivative securities
- When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?
- STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES
- OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT
- STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
- ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
- CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
- TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
- Robustness of the Black and Scholes Formula
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
- A Note on Market Completeness with American Put Options
- Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do
- OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
- Convex Analysis
- DO ARBITRAGE‐FREE PRICES COME FROM UTILITY MAXIMIZATION?
- Utility maximization in incomplete markets with random endowment
- Optimal investment in derivative securities
This page was built for publication: Optimal investment and price dependence in a semi-static market
