Utility-Based Derivative Pricing in Incomplete Markets
By Jan Kallsen. 2002
66 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/12b148e36802208ed1e734d923a742810f3a8888
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Johannes Muhle‐Karbe
- Jan Kallsen
- Martin Schweizer
- Thomas Goll
- Felix Esche
- Peter Tankov
- Eckhard Platen
- Fred Espen Benth
In Management Science and Operations Research
- Johannes Muhle‐Karbe
- Jan Kallsen
- Thomas Goll
- Martin Schweizer
- Felix Esche
- Peter Tankov
- Eckhard Platen
- Walter Schachermayer
Citations in the corpus
- A Complete Explicit Solution to the Log-Optimal Portfolio Problem (2003, methodology): “Put differently, it means that(SZ)T is aP -σ-martingale (cf. Goll and Kallsen (2001a), Proposition 7.13, which makes sense even ifZT is only a local martingale andP ? is not defined.”
- UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (2010, methodology): “Hence we are in the setup considered above.”
- Minimal entropy preserves the Lévy property: how and why (2005, background): “…Processes”, Springer O. Kallenberg (2002), “Foundations of Modern Probability”, Springer G. Kallianpur and R. L. Karandikar (2000), “Introduction to Option Pricing Theory”, Birkhäuser J. Kallsen (2002), “Utility-Based Derivative Pricing in Incomplete Markets”, in: H. Ge- man et al. (eds.)”