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Do Arbitrage-Free Prices Come From Utility Maximization?

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  • Pietro Siorpaes

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  • Pietro Siorpaes, 2016. "Do Arbitrage-Free Prices Come From Utility Maximization?," Mathematical Finance, Wiley Blackwell, vol. 26(3), pages 602-616, July.
    • Handle: RePEc:bla:mathfi:v:26:y:2016:i:3:p:602-616
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    File URL: http://hdl.handle.net/10.1111/mafi.2016.26.issue-3
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    Cited by:

    1. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2021. "Optimal investment, derivative demand, and arbitrage under price impact," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 3-35, January.
    2. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2018. "Optimal Investment, Demand and Arbitrage under Price Impact," Papers 1804.09151, arXiv.org, revised Dec 2018.
    3. Kasper Larsen & Halil Mete Soner & Gordan Žitković, 2020. "Conditional Davis pricing," Finance and Stochastics, Springer, vol. 24(3), pages 565-599, July.

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