Pricing Via Utility Maximization and Entropy

By R. Rouge, Nicole El Karoui. 2000

532 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4984504133623ded036251ac958981248a311f11

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Citations in the corpus

Bounded solutions to backward SDE's with jumps for utility optimization and indifference hedging (2006, background): “This is more in the spirit of the work by Rouge and El Karoui [22] and Hu, Imkeller and Müller [14], whereas Mania and Schweizer [21] derive existence and uniqueness for their specific BSDEs from the given existence of optimal solutions, ensured by duality results of Kabanov and Stricker [16].”
OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS (2015, methodology): “Then, assuming mainly that the agents positions are constrained to lie in closed convex subsets, and that the drift and volatility of the log prices are deterministic, we show the existence and uniqueness of a Nash equilibrium, using the backward stochastic differential equation (BSDE) techniques in”
OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING (2007, background): “Recently, Biagini and Frittelli (2005) have generalized the results of Schachermayer (2001) in an elegant way to the non-locally bounded case.”
7 – Backward Stochastic Differential Equations (2011, unknown): “There is an excellent exposition on the basic theory and applications of BSDEs in El Karoui, Peng, & Quenez [81], and Peng [182] provides a detailed survey on the theory and its further developments.”
Hedging of Defaultable Claims (2004, methodology): “This problem was studied by, among others, Rouge and El Karoui (2000) , Delbaen et al. (2002) and Collin-Dufresne and Hugonnier (2002).”
Lévy Processes in Finance: Inverse Problems and Dependence Modelling (2004, result): “Similar results have been obtained by El Karoui and Rouge [39] in the setting of continuous processes.”
CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (2007, background): “ Rouge and El Karoui (2000) partially solve this problem introducing the forward risk measure”
Paris-Princeton Lectures on Mathematical Finance 2002 (2003, methodology): “This problem was studied by, among others, Rouge and El Karoui (2000) , Delbaen et al. (2002) and Collin-Dufresne and Hugonnier (2002).”
Utility-Based Derivative Pricing in Incomplete Markets (2002, background): “Davis (1997), Karatzas and Kou (1996), Frittelli (1998), Rouge and El Karoui (2001) , Bellini and Frittelli (2000), Kallsen (2001)), or on distance minimization (cf.”