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On utility-based derivative pricing with and without intermediate trades - MaRDI portal

On utility-based derivative pricing with and without intermediate trades

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Publication:5437383

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DOI10.1524/stnd.2006.24.4.415zbMath1151.91447OpenAlexW2124308005MaRDI QIDQ5437383

Jan Kallsen, Christoph Kühn

Publication date: 18 January 2008

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://macau.uni-kiel.de/receive/publ_mods_00000335

Mathematics Subject Classification ID

Utility theory (91B16) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20) Linear function spaces and their duals (46E99)

Related Items (2)

OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING ⋮ A NOTE ON UTILITY INDIFFERENCE PRICING

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