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Derivative pricing based on local utility maximization · Study

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ArticleDerivative pricing based on local utility maximization

Jan Kallsen2002

Article2002

Derivative pricing based on local utility maximization

48 citations·0/0 files stored·Finance and Stochastics

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

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References

1973The Pricing of Options and Corporate Liabilities 1979Option pricing: A simplified approach 1981Martingales and stochastic integrals in the theory of continuous trading 1976The Valuation of Uncertain Income Streams and the Pricing of Options 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1997Processes of normal inverse Gaussian type 1979Calcul Stochastique et Problèmes de Martingales 1995THE GARCH OPTION PRICING MODEL

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2006MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE

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2002Utility-Based Derivative Pricing in Incomplete Marketschapter · 26 shared references 2002Optimal Investment in Incomplete Financial Marketschapter · 17 shared references 2001Rational Hedging and Valuation with Utility-Based Preferencesthesis · 15 shared references 2006Variance-optimal hedging for processes with stationary independent incrementsarticle · 14 shared references 2001Minimax and minimal distance martingale measures and their relationship to portfolio optimizationarticle · 13 shared references 2000Optimal portfolios for logarithmic utilityarticle · 13 shared references

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Year2002

Typearticle

Published2002-01-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations48

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s780-002-8403-x

openalex_workW2012664904

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