ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS

By Julien Hugonnier, Dmitry O. Kramkov, Walter Schachermayer. 2005

121 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/17b2b915c5ba5e74d3564dae034d8c19ed39343e

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Citations in the corpus

ON UTILITY MAXIMIZATION IN DISCRETE-TIME FINANCIAL MARKET MODELS (2005, methodology): “This approach has already been pursued by, for example, Davis [5], Frittelli [8] and Hugonnier, Kramkov and Schachermayer [14], and goes back to principles of economic theory, see [13].”
OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING (2007, methodology): “Marginal utility-based prices have previously been investigated by Hugonnier, Kramkov, and Schachermayer (2005), in the context of static buy-and-hold strategies for the new assets, and deterministic initial wealth.”
Utility indifference pricing : an overview (2009, background): “A discussion on the necessary and sufficient conditions for marginal prices to exist in a general semi-martingale model can be found in Hugonnier et al [47].”
Demand-Based Option Pricing (2009, unknown): “The end-user demand for index options can help to explain the two puzzles that index options appear to be expensive, and that low-moneyness options seem to be especially expensive (Rubinstein (1994), Longstaff (1995), Bates (2000), Coval and Shumway (2001), Bondarenko (2003), Amin, Coval, and Seyhun”
Risk measure pricing and hedging in incomplete markets (2006, background): “An incomplete list of references includes Hodges and Neuberger [32], Davis [9], Karatzas and Kou [35], Frittelli [24], Foldes [16], Rouge and El Karoui [47], Kallsen [34], Henderson [30], Hugonnier, Kramkov and Schachermayer [33], Mania and Schweizer [40], and Henderson and Hobson [31].”
Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash (2011, unknown): “This literature argues that due to the existence of limits to arbitrage, market makers cannot always fully hedge their positions (see, e.g., Green and Figlewski, 1999; Figlewski, 1989; Hugonnier et al., 2005; Liu and Longstaff, 2004; Longstaff, 1995; and Shleifer and Vishny, 1997).”
Performance of utility-based strategies for hedging basis risk (2004, background): “For a recent analysis of a general de nition of the marginal price, which involves treating the number of claims traded as a variable of the optimization problem, see [15, 16].”
Optimal investment with random endowments in incomplete markets (2004, background): “Schachermayer [20], where we show that in general the utility based price may not be unique and hence the function u may not be differentiable.”
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes (2006, background): “It was shown in [9] that the set P (x,0) is a singleton and that its unique element, denoted by p(x), has the representation p(x) = 1 y E[YT (y)f ], y = u′(x), (25)”
Robust projections in the class of martingale measures (2006, background): “See, for instance, Kramkov [29], Delbaen and Schachermayer [7], or Yan [43], and also Föllmer and Kramkov [15] and Föllmer and Kabanov [14] for an extension to trading strategies with convex constraints.”