F OLLMER, H. and SONDERMAN, D. : Hedging of non-redundant contingent claims. Contributions to Mathematical Economics, eds. Hildenbrand W., and Mas-Colell A.. 205-223, 1986. Home/Search Document Not in Database Summary Related Articles Check |
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Real Options, Non-traded Assets and Utility Indifference Prices - Hobson (2003) (Correct)
....in real options, see [3] An illustration from Hubalek and Schachermayer [13] is when the two assets are di erent brands of crude oil, only one of which is liquidly traded. This problem is an example of the problem of pricing a claim in an incomplete market and is similar to those considered in [7], 6] 20] 4] and many others. In common with [4] and [2] we model our agents as maximisers of expected utility. Another common approach is to select a martingale measure (for example the minimal martingale measure) and to use that for pricing. For the problem detailed above Hubalek and ....
F OLLMER, H. and SONDERMAN, D. : Hedging of non-redundant contingent claims. Contributions to Mathematical Economics, eds. Hildenbrand W., and MasColell A.. 205-223, 1986. 22
Stochastic Volatility Models, Correlation and the q-Optimal Measure - Hobson (2002) (Correct)
....martingale measures, and we need to specify a criterion by which to justify a particular choice. One choice of measure is the variance optimal measure. Under certain regularity conditions this is the mean variance option pricing measure introduced in the martingale case by F ollmer and Sondermann [6], and extended to the general case by Due and Richardson [5] Schweizer [23] and Gouri eroux et al. [9] amongst others. The use of the variance optimal measure in stochastic volatility models has been extensively investigated by Laurent and Pham [16] Biagini et al. [1] and Heath et al. [11] and ....
Follmer, H. and Sondermann, D.; Hedging of non-redundant contingent claims. In Contributions to Mathematical Economics: Essays in Honour of G. Debreu, Editors: Hildenbrand W. and MasColell, A., North-Holland. 203-205, 1986.
A Benchmark Model for Financial Markets - Platen (2001) (Correct)
....maximizing equilibrium expected utility. Of particular importance in the theory and practice of derivative pricing has been the Arbitrage Pricing Theory #APT#, originated by Ross #1976# and further developed in an extensive literature, including Harrison Kreps #1979#, Harrison Pliska #1981#, F#ollmer Sondermann #1986#, F#ollmer Schweizer #1991#, Delbaen Schachermayer #1997# and Yan #1998#. The APT in its standard version relies on the existence of an equivalent martingale measure. A closely related approach uses the state price density or state price de#ator, see, for instance, Constatinides #1992#, Du#e ....
....Note however that these would be typically minimized as a market matures and models become more accurate. 4. 4 Standard Arbitrage There exists an extensive literature on various important notions relating to no arbitrage, see, for instance, Harrison Kreps #1979#, Harrison Pliska #1981#, F#ollmer Sondermann #1986#, F#ollmer Schweizer #1991# or Delbaen Schachermayer #1994#, The following de#nition is similar to the standard noarbitrage condition formulated, for instance, in Karatzas Shreve #1998#. Note that we consider benchmarked portfolios and not domestic savings account discounted portfolios. ....
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F#ollmer, H. & D. Sondermann #1986#. Hedging of non-redundant contingent claims. In W. Hildebrandt and A. Mas-Colell #Eds.#, Contributions to Mathematical Economics, pp. 205#223. North Holland.
Option Pricing In Incomplete Markets - Hobson (Correct)
....choose to model is as follows: Consider an individual who is free to trade in an asset with price process P t . How much should the individual be prepared to pay now in order to receive a random payment Y at some pre determined time T in the future This problem is similar to those considered in [4], 3] 11] and [2] In common with [2] we model our individuals as maximers of expected utility. In x2 we outline the philosophy which underlies our pricing mechanism. We de ne two prices, the bid price and the ask price which correspond to the price at which the individual is prepared to buy or ....
F OLLMER, H. and SONDERMAN, D. : Hedging of non-redundant contingent claims. Contributions to Mathematical Economics, eds. Hildenbrand W., and Mas-Colell A.. 205-223, 1986.
Option Pricing In Incomplete Markets - David Hobson First (Correct)
No context found.
F OLLMER, H. and SONDERMAN, D. : Hedging of non-redundant contingent claims. Contributions to Mathematical Economics, eds. Hildenbrand W., and Mas-Colell A.. 205-223, 1986.
Real Options, Non-traded Assets and Utility Indifference Prices - Hobson (2003) (Correct)
No context found.
F OLLMER, H. and SONDERMAN, D. : Hedging of non-redundant contingent claims. Contributions to Mathematical Economics, eds. Hildenbrand W., and MasColell A.. 205-223, 1986. 22
Stochastic Volatility Models, Correlation and the q-Optimal Measure - Hobson (2002) (Correct)
No context found.
Follmer, H. and Sondermann, D.; Hedging of non-redundant contingent claims. In Contributions to Mathematical Economics: Essays in Honour of G. Debreu, Editors: Hildenbrand W. and MasColell, A., North-Holland. 203-205, 1986.
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