Pricing a nontradeable asset and its derivatives.

DOI10.1023/B:JOTA.0000037600.85025.dbzbMath1090.91044OpenAlexW1989911064MaRDI QIDQ703158

David G. Luenberger

Publication date: 11 January 2005

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:jota.0000037600.85025.db

zbMATH Keywords

real optionsreplication

Mathematics Subject Classification ID

Related Items (12)

A convex version of multivariate adaptive regression splines ⋮ Nonconvex optimization for pricing and hedging in imperfect markets ⋮ Optimizing a multi-stage production/inventory system by DC programming based approaches ⋮ Risk-neutral valuation with infinitely many trading dates ⋮ Zero-level pricing method with transaction cost ⋮ A geometric framework for nonconvex optimization duality using augmented Lagrangian functions ⋮ Pricing a nontradeable asset and its derivatives. ⋮ A stochastic programming model for the thermal optimal day-ahead bid problem with physical futures contracts ⋮ Hedging interest rate risk by optimization in Banach spaces ⋮ Sequential arbitrage measurements and interest rate envelopes ⋮ OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS ⋮ Pricing dynamic binary variables and their derivatives

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Pricing a nontradeable asset and its derivatives.
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Arbitrage and universal pricing.
• A correlation pricing formula.
• A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
• Projection pricing

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