Pricing via utility maximization and entropy

Mathematical Finance

Volumn 10, Issue 2, 2000, Pages 259-276

  Rouge, Richard ^a   El Karoui, Nicole ^b  

^a SORBONNE UNIVERSITÉ   (France)

^b CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

Author keywords

Backward SDE; Entropy; Incomplete markets; Mathematical finance; Option pricing; Portfolio optimization; Superreplication

Indexed keywords

EID: 0040807565     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00093     Document Type: Article

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