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Abstract: We show that the utility indi erence (bid) price of a contingent claim is bounded above by the price under the minimal martingale measure. This bound is independent of both the utility function and initial wealth of the agent. (Update)
Active bibliography (related documents): More All
3.3: Real Options, Non-traded Assets and Utility Indifference Prices - Hobson (2003) (Correct)
1.2: A Survey of Mathematical Finance - Hobson (Correct)
0.6: Option Pricing In Incomplete Markets - David Hobson First (Correct)
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3.0: Unknown - (Correct)
BibTeX entry: (Update)
@misc{ hobson-real,
author = "D.G. Hobson",
title = "Real Options, Non-traded Assets and Utility Indifference Prices",
url = "citeseer.ist.psu.edu/hobson03real.html" }
Citations (may not include all citations):294 Brownian Motion and Stochastic Calculus (context) - KARATZAS, SHREVE - 1988
188 User's guide to viscosity solutions of second order partial .. (context) - CRANDALL, ISHII - 1992
128 Investment under uncertainty (context) - DIXIT, PINDYCK - 1994
125 Martingales and Stochastic Integrals in the theory of contin.. (context) - HARRISON, PLISKA - 1981
53 Hedging of contingent claims under incomplete information (context) - OLLMER, SCHWEIZER - 1990
25 Optimal Replication of Contingent Claims Under Transaction C.. (context) - HODGES, NEUBERGER - 1989
20 Mean-variance hedging in continuous time (context) - DUFFIE, RICHARDSON - 1991
13 Optimization Problems in the Theory of Continuous Trading (context) - KARATZAS - 1989
13 Mean-variance hedging for continuous processes: new proofs a.. - PHAM, RHEINL et al. - 1998
12 Option Hedging for Semimartingales (context) - SCHWEIZER - 1991
11 Martingale and Duality methods for Utility Maximisation in a.. (context) - KARATZAS, LEHOCSKY et al. - 1991
10 Markov Processes and Martingales (context) - ROGERS, WILLIAMS - 1987
9 Option pricing in incomplete markets (context) - DAVIS - 1998
7 Hedging of non-redundant contingent claims (context) - OLLMER, SONDERMAN - 1986
6 Real options with constant relative risk aversion (context) - HENDERSON, HOBSON
5 Valuation of claims on non-traded assets using utility maxim.. (context) - HENDERSON
3 Substitute Hedging (context) - HENDERSON, HOBSON - 2002
3 The limitations of no-arbitrage arguments for real options - HUBALEK, SCHACHERMAYER - 2001
2 Bounds and asymptotic approximations for utility prices when.. (context) - SIRCAR, ZARIPHOPOULOU - 2002
2 Optimal investment in incomplete nancial markets (context) - SCHACHERMAYER - 2000
2 Optimal investment with undiversi able income risk (context) - DUFFIE, ZARIPHOPOULOU - 1993
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