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On Utility-Based Pricing Of Contingent Claims In Incomplete Markets

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Author Info

  • Julien Hugonnier
  • Dmitry Kramkov
  • Walter Schachermayer

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.0960-1627.2005.00217.x
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Bibliographic Info

Article provided by Wiley Blackwell in its journal Mathematical Finance.

Volume (Year): 15 (2005)
Issue (Month): 2 ()
Pages: 203-212

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Handle: RePEc:bla:mathfi:v:15:y:2005:i:2:p:203-212

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627

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Cited by:
  1. Julien Hugonnier & Dmitry Kramkov, 2004. "Optimal investment with random endowments in incomplete markets," Papers math/0405293, arXiv.org.
  2. Maria Grith & Volker Krätschmer, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers SFB649DP2010-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January.
  4. Miklos Rasonyi & Lukasz Stettner, 2005. "On utility maximization in discrete-time financial market models," Papers math/0505243, arXiv.org.
  5. Mark Owen & Gordan Zitkovic, 2007. "Optimal Investment with an Unbounded Random Endowment and Utility-Based Pricing," Papers 0706.0478, arXiv.org, revised Sep 2007.
  6. Keita Owari, 2009. "A Note on Utility Maximization with Unbounded Random Endowment," Global COE Hi-Stat Discussion Paper Series gd09-091, Institute of Economic Research, Hitotsubashi University.
  7. Walter Schachermayer & Mihai Sîrbu & Erik Taflin, 2009. "In which financial markets do mutual fund theorems hold true?," Finance and Stochastics, Springer, vol. 13(1), pages 49-77, January.
  8. Constantinos Kardaras & Gordan Zitkovic, 2007. "Stability of the utility maximization problem with random endowment in incomplete markets," Papers 0706.0482, arXiv.org, revised Mar 2010.
  9. Michail Anthropelos & Gordan Zitkovic, 2008. "On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets," Papers 0803.2198, arXiv.org.
  10. David German, 2010. "Overview of utility-based valuation," Papers 1003.5712, arXiv.org.

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