A note on utility-based pricing in models with transaction costs
暂无分享,去创建一个
[1] Luciano Campi,et al. Multivariate Utility Maximization with Proportional Transaction Costs and Random Endowment , 2012, SIAM J. Control. Optim..
[2] Mark H. A. Davis,et al. An Equilibrium Approach to Indifference Pricing , 2012 .
[3] Luciano Campi,et al. Multivariate utility maximization with proportional transaction costs , 2008, Finance Stochastics.
[4] Mark H. A. Davis,et al. A note on utility-based pricing , 2010 .
[5] Y. Kabanov,et al. Markets with transaction costs , 2010 .
[6] Kenji Kamizono. Multivariate Utility Maximization under Transaction Costs , 2004 .
[7] Julien Hugonnier,et al. Optimal investment with random endowments in incomplete markets , 2004, math/0405293.
[8] W. Schachermayer. The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time , 2004 .
[9] V. Henderson,et al. VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION , 2002 .
[10] Bruno Bouchard. Utility maximization on the real line under proportional transaction costs , 2002, Finance Stochastics.
[11] Y. Kabanov,et al. Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model , 2002 .
[12] Option pricing by large risk aversion utility¶under transaction costs , 2001 .
[13] Jakša Cvitanić,et al. On optimal terminal wealth under transaction costs , 2001 .
[14] Vicky Hendersony,et al. Valuation of Claims on Non-Traded assets using Utility Maximisation , 2001 .
[15] Yuri Kabanov,et al. Hedging and liquidation under transaction costs in currency markets , 1999, Finance Stochastics.
[16] Shunsuke Ihara,et al. Information theory - for continuous systems , 1993 .
[17] R. Rockafellar. Convex Analysis: (pms-28) , 1970 .