SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Utility-Based Derivative Pricing in Incomplete Markets · Study

ChapterShelves

ChapterUtility-Based Derivative Pricing in Incomplete Markets

Jan Kallsen2002

Chapter2002

Utility-Based Derivative Pricing in Incomplete Markets

57 citations·0/0 files stored·Springer finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 57 citations exist upstream.

References

1979Martingales and arbitrage in multiperiod securities markets 1993Dynamic Asset Pricing Theory.1981Martingales and stochastic integrals in the theory of continuous trading 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets

Cited by

2010UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS 2002Derivative pricing based on local utility maximization 2015How non-arbitrage, viability and numéraire portfolio are related 2007A PDE approach for risk measures for derivatives with regime switching

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2002Derivative pricing based on local utility maximizationarticle · 26 shared references 2002Optimal Investment in Incomplete Financial Marketschapter · 24 shared references 2001Rational Hedging and Valuation with Utility-Based Preferencesthesis · 22 shared references 2006Variance-optimal hedging for processes with stationary independent incrementsarticle · 16 shared references 2005Risk measure pricing and hedging in incomplete marketsarticle · 16 shared references 2000Dynamic L p -Hedging in Discrete Time under Cone Constraintsarticle · 16 shared references

Details

Year2002

Typechapter

Published2002-01-01

VenueSpringer finance

ISSN-L1616-0533

Languageen

Citations57

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/978-3-662-12429-1_15

openalex_workW1537945916

Links

Imported from OpenAlex (CC0) — nothing here is generated.