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  • Search: subject:"Utility indifference"
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Year of publication
Subject
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utility indifference pricing 20 Utility indifference pricing 18 Option pricing theory 17 Optionspreistheorie 17 Incomplete market 13 Unvollkommener Markt 12 Nutzen 10 Portfolio selection 10 Portfolio-Management 10 Utility 10 Risk aversion 9 Theorie 8 Theory 8 Börsenkurs 7 Share price 7 Hedging 6 Nutzenfunktion 6 Risikoaversion 6 Stochastic process 6 Stochastischer Prozess 6 Utility function 6 CAPM 5 Utility indifference price 5 Utility indifference prices 5 real options 5 Risiko 4 Risk 4 Utility indifference 4 Utility maximization 4 incomplete markets 4 transaction costs 4 Convergence 3 GAS models 3 Incomplete information 3 Inner rate of risk aversion 3 Large investor 3 Liquidity 3 Martingal 3 Martingale 3 Normal mixture 3
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Online availability
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Undetermined 40 Free 15 CC license 1
Type of publication
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Article 49 Book / Working Paper 15
Type of publication (narrower categories)
All
Article in journal 28 Aufsatz in Zeitschrift 28 Working Paper 4 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Article 1 Collection of articles of several authors 1 Collection of articles written by one author 1 Hochschulschrift 1 Sammelwerk 1 Sammlung 1 Thesis 1
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Language
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English 37 Undetermined 27
Author
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Hodoshima, Jiro 6 Zhao, Lin 5 Henderson, Vicky 4 Bank, Peter 3 Carassus, Laurence 3 Platen, Eckhard 3 Rásonyi, Miklós 3 Wijnbergen, Sweder van 3 Campi, Luciano 2 Dorfleitner, Gregor 2 Gerer, Johannes 2 Guéant, Olivier 2 Imkeller, Peter 2 Kato, Takashi 2 Kramkov, Dmitry 2 Liang, Gechun 2 Miyahara, Yoshio 2 Porchet, Arnaud 2 Pólvora, Pedro 2 Richter, Anja 2 Runggaldier, Wolfgang 2 Sekine, Jun 2 Sun, Jia 2 Takino, Kazuhiro 2 Touzi, Nizar 2 Warin, Xavier 2 Whalley, A. Elizabeth 2 Xu, Mingxin 2 Yamamoto, Hiromitsu 2 van Wijnbergen, Sweder 2 Ševčovič, Daniel 2 BENTH, FRED ESPEN 1 Benedetti, Giuseppe 1 Bouchard, Bruno 1 CARMONA, RENÉ 1 Callegaro, Giorgia 1 Cheridito, Patrick 1 Cohen, Asaf 1 DIKO, PAVEL 1 Dai, Min 1
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Institution
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Université Paris-Dauphine (Paris IX) 3 Finance Discipline Group, Business School 2 EconWPA 1 Graduate School of Economics, Osaka University 1 Tinbergen Instituut 1 Université Paris-Dauphine 1
Published in...
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Finance and stochastics 4 International Journal of Theoretical and Applied Finance (IJTAF) 4 International journal of theoretical and applied finance 4 Applied mathematical finance 3 Asia-Pacific Financial Markets 3 Finance and Stochastics 3 Finance research letters 3 Annals of Finance 2 Computational Statistics 2 Discussion paper / Tinbergen Institute 2 Economics Papers from University Paris Dauphine 2 Mathematical Methods of Operations Research 2 Quantitative Finance 2 Research Paper Series / Finance Discipline Group, Business School 2 Tinbergen Institute Discussion Paper 2 Applied Mathematical Finance 1 Asia-Pacific financial markets 1 Discussion Papers in Economics and Business 1 Economic modelling 1 Economics Thesis from University Paris Dauphine 1 Empirical economics : a quarterly journal of the Institute for Advanced Studies 1 Finance 1 International Journal of Information Technology & Decision Making (IJITDM) 1 International journal of accounting and finance 1 Journal of Risk and Financial Management 1 Journal of financial engineering 1 Journal of mathematical economics 1 Journal of risk 1 Journal of risk and financial management : JRFM 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Mathematical methods of operations research 1 Mathematics of operations research 1 Open Access publications from Université Paris-Dauphine 1 Operations research letters 1 Quantitative finance 1 Tinbergen Institute Discussion Papers 1
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Source
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ECONIS (ZBW) 31 RePEc 29 EconStor 3 BASE 1
Showing 1 - 10 of 64
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Utility indifference option pricing model with a non-constant risk-aversion under transaction costs and its numerical approximation
Pólvora, Pedro; Ševčovič, Daniel - In: Journal of Risk and Financial Management 14 (2021) 9, pp. 1-12
Our goal is to analyze the system of Hamilton-Jacobi-Bellman equations arising in derivative securities pricing models. The European style of an option price is constructed as a difference of the certainty equivalents to the value functions solving the system of HJB equations. We introduce the...
Persistent link: https://www.econbiz.de/10013201083
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Utility indifference option pricing model with a non-constant risk-aversion under transaction costs and its numerical approximation
Pólvora, Pedro; Ševčovič, Daniel - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-12
Our goal is to analyze the system of Hamilton-Jacobi-Bellman equations arising in derivative securities pricing models. The European style of an option price is constructed as a difference of the certainty equivalents to the value functions solving the system of HJB equations. We introduce the...
Persistent link: https://www.econbiz.de/10012627673
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Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact
Ekren, Ibrahim; Nadtochiy, Sergey - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 172-225
Persistent link: https://www.econbiz.de/10012815953
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Hedging-based utility risk measure customized for individual investors
Dong, Linjia; Yang, Zhaojun - In: Operations research letters 50 (2022) 5, pp. 509-512
Persistent link: https://www.econbiz.de/10013449436
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A scaling limit for utility indifference prices in the discretised Bachelier model
Cohen, Asaf; Dolinsky, Yan - In: Finance and stochastics 26 (2022) 2, pp. 335-358
Persistent link: https://www.econbiz.de/10013197588
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Evaluation of performance of stock and real estate investment trust markets in Japan
Hodoshima, Jiro - In: Empirical economics : a quarterly journal of the … 61 (2021) 1, pp. 101-120
Persistent link: https://www.econbiz.de/10012585880
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Explicit representations for utility indifference prices
Hess, Markus - In: Applied mathematical finance 28 (2021) 1, pp. 23-47
Persistent link: https://www.econbiz.de/10012625986
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The value of being lucky : option backdating and nondiversifiable risk
Henderson, Vicky; Sun, Jia; Whalley, A. Elizabeth - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10012652678
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The computational property of the Aumann-Serrano performance index under risk-averse and risk-loving preference
Hodoshima, Jiro - In: Finance research letters 39 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012805213
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Essays on derivatives pricing in incomplete markets
Gerer, Johannes - 2016
Persistent link: https://www.econbiz.de/10012128861
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