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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)
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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
[Article contains additional citations not shown here]
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