Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
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Publication:997422
DOI10.1214/105051606000000529zbMath1132.91426arXivmath/0702413OpenAlexW2133825509MaRDI QIDQ997422
Publication date: 6 August 2007
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0702413
hedgingincomplete marketsrandom endowmentutility maximizationrisk-aversionstochastic dominancecontingent claimrisk-toleranceutility-based valuation
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