Pricing of contingent claims in large markets

DOI10.1007/s00780-024-00554-0MaRDI QIDQ6659481

Publication date: 9 January 2025

Published in: Finance and Stochastics (Search for Journal in Brave)

incomplete market duality theory semimartingale indifference pricing large market arbitrage-free pricing utility-based pricing fair pricing asymptotic replicability Davis pricing infinite-dimensional stochastic control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Portfolio theory (91G10) Actuarial science and mathematical finance (91Gxx) Financial markets (91G15)

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