Indifference valuation in incomplete binomial models

DOI10.5802/msia.4zbMath1204.91137OpenAlexW2332118556MaRDI QIDQ613732

Sumit K. Garg

Publication date: 21 December 2010

Published in: MathematicS In Action (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=MSIA_2010__3_2_1_0

zbMATH Keywords

incomplete marketsutility functionbinomial modelindifference pricingminimal martingale measureminimal entropy measure

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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