On utility-based pricing of contingent claims in incomplete markets

Mathematical Finance

Volumn 15, Issue 2, 2005, Pages 203-212

  Hugonnier, Julien ^a,d   Kramkov, Dmitry ^b   Schachermayer, Walter ^c  

^a UNIVERSITY OF LAUSANNE   (Switzerland)

^b CARNEGIE MELLON UNIVERSITY   (United States)

^c VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

^d HEC MONTRÉAL   (Canada)

Author keywords

Incomplete markets; Rosenthal's lemma; Semimartingale model; Utility based pricing

Indexed keywords

EID: 17444421948     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0960-1627.2005.00217.x     Document Type: Article

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