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A utility maximization approach to hedging in incomplete markets
Kallsen, Jan - In: Mathematical methods of operations research 50 (1999) 2, pp. 321-338
Persistent link: https://www.econbiz.de/10001428821
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Utility-based derivative pricing in incomplete markets
Kallsen, Jan - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 313-338). 2002
Persistent link: https://www.econbiz.de/10001679455
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Asymptotic power utility-based pricing and hedging
Kallsen, Jan; Muhle-Karbe, Johannes; Vierthauer, Richard - In: Mathematics and financial economics 8 (2014) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10010235420
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Utility maximization in affine stochastic volatility models
Kallsen, Jan; Muhle-Karbe, Johannes - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 459-477
Persistent link: https://www.econbiz.de/10008904356