On Utility-Based Superreplication Prices of Contingent Claims with Unbounded Payoffs

DOI10.1239/jap/1197908811zbMath1210.91135arXivmath/0609403OpenAlexW1993868823MaRDI QIDQ5448739

Mark P. Owen, Frank Oertel

Publication date: 7 March 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0609403

zbMATH Keywords

weak topologyincomplete marketsuperreplicationduality theorycontingent claim

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Related Items (3)

A dual representation of gain–loss hedging for European claims in discrete time ⋮ Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets ⋮ Constrained nonsmooth utility maximization without quadratic inf convolution

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