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Arbitrage and utility maximiza...
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Showing
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1
Detection of
arbitrage
in a market with multi-asset derivatives and known risk-neutral marginals
Tavin, Bertrand
- In:
Journal of banking & finance
53
(
2015
),
pp. 158-178
Persistent link: https://www.econbiz.de/10011377717
Saved in:
2
Do
arbitrage
-free prices come from utility maximization?
Siorpaes, Pietro
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 602-616
Persistent link: https://www.econbiz.de/10011583781
Saved in:
3
Pricing and
hedging
in incomplete markets with model uncertainty
Balter, Anne G.
;
Pelsser, Antoon André Jean
- In:
European journal of operational research : EJOR
282
(
2020
)
3
,
pp. 911-925
Persistent link: https://www.econbiz.de/10012161810
Saved in:
4
Incomplete markets with endogenous portfolio constraints and redundant assets
Hahn, Guangsug
- In:
Seoul journal of economics
27
(
2014
)
4
,
pp. 469-488
Persistent link: https://www.econbiz.de/10010472777
Saved in:
5
The term structure of sharpe ratios and
arbitrage
-free asset pricing in continuous time
Beißner, Patrick
;
Rosazza Gianin, Emanuela
-
2018
arbitrage
-free and incomplete market setting when different pricing measures are possible. Involved pricing measures now depend …
Persistent link: https://www.econbiz.de/10011899208
Saved in:
6
Generalized stochastic
arbitrage
opportunities
Arvanitis, Stelios
;
Post, Thierry
- In:
Management science : journal of the Institute for …
70
(
2024
)
7
,
pp. 4629-4648
Persistent link: https://www.econbiz.de/10015046365
Saved in:
7
Arbitrage
pricing theory 50 years after Black Merton Scholes
Jarrow, Robert A.
- In:
Journal of investment management : JOIM
22
(
2024
)
4
,
pp. 69-78
Persistent link: https://www.econbiz.de/10015405668
Saved in:
8
Arbitrage
pricing in non-Walrasian financial markets
Carvajal, Andrés
- In:
Economic theory : official journal of the Society for …
66
(
2018
)
4
,
pp. 951-978
Persistent link: https://www.econbiz.de/10012010925
Saved in:
9
Indifference fee rate for variable annuities
Chevalier, Etienne
;
Lim, Thomas
;
Romero, Ricardo Romo
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 278-308
Persistent link: https://www.econbiz.de/10011704242
Saved in:
10
A general methodology to price and hedge derivatives in incomplete markets
Aurell, Erik
(
contributor
)
- In:
International journal of theoretical and applied finance
3
(
2000
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10001488345
Saved in:
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