Explicit solutions of some utility maximization problems in incomplete markets

By Michael Tehranchi. 2004

59 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/42c300646f5217be38faf83755602ace202093be

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. David Hobson *
2. Vicky Henderson
3. H. M. Soner
4. Yan Dolinsky
5. Nizar Touzi
6. Michael Monoyios
7. Mathias Beiglbock
8. Danila Zaev

In Finance

1. David Hobson *
2. Vicky Henderson
3. Michael Monoyios
4. H. M. Soner
5. Yan Dolinsky
6. Nizar Touzi
7. Mathias Beiglbock
8. Mark H. A. Davis

In Management Science and Operations Research

1. David Hobson *
2. Vicky Henderson

Citations in the corpus

• A stochastic volatility model and optimal portfolio selection (2013, unknown): “Tehranchi (2004) finds explicit solutions for several utility maximization problems in incomplete markets.”
• Utility indifference pricing : an overview (2009, methodology): “In the same class of models, but in the slightly artificial case of an option on the volatility process, Tehranchi [81] and Grasselli and Hurd [32] show how to calculate an exact option price.”