In a financial market model with constraints on the portfolios, define the price for a claim "C" as the smallest real number "p" such that sup_π E["U"("X"_"T"-super-"x"+"p",&thin sp;π - "C")]≥ sup_π E["U"("X"_"T"-super-"x", π)] , where "U" is the negative exponential utility function and...

Consider an option on a stock whose volatility is unknown and stochastic. An agent assumes this volatility to be a specific function of time and the stock price, knowing that this assumption may result in a misspecification of the volatility. However, if the misspecified volatility dominates the...