The information premium on a finite probability space

DOI10.35834/2024/3601068zbMATH Open1545.91309MaRDI QIDQ6585958

Joo Seung Lee, Oleksii Mostovyi, Jake Koerner

Publication date: 12 August 2024

Published in: Missouri Journal of Mathematical Sciences (Search for Journal in Brave)

zbMATH Keywords

stabilityasymmetric informationFöllmer-Schweizer decompositionfair pricinginformation premium

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Title not available (Why is that?)
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Conditioned stochastic differential equations: theory, examples and application to finance.
• Optimal investment with random endowments in incomplete markets.
• Stochastic calculus for finance. I: The binomial asset pricing model.
• Stability and asymptotic analysis of the Föllmer-Schweizer decomposition on a finite probability space
• Fair pricing and hedging under small perturbations of the numéraire on a finite probability space
• OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT
• Enlargement of Filtration with Finance in View
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• Variance-Optimal Hedging in Discrete Time
• DO ARBITRAGE‐FREE PRICES COME FROM UTILITY MAXIMIZATION?
• Financial markets theory. Equilibrium, efficiency and information
• Utility maximization in incomplete markets with random endowment

This page was built for publication: The information premium on a finite probability space

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6585958)