25
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Overview of Utility-Based Valuation

Pages 397-411 | Received 04 Aug 2010, Published online: 30 Nov 2011

References

  • Davis , M. H.A. 1997 . “ Option pricing in incomplete markets ” . In Mathematics of Derivative Securities (Cambridge, 1995) , Volume 15 , 216 – 226 . Cambridge Univ. Press . of Publ. Newton Inst.
  • Delbaen , F. and Schachermayer , W. 1994 . A general version of the fundamental theorem of asset pricing . Mathematische Annalen , 300 ( 3 ) : 463 – 520 .
  • Delbaen , F. and Schachermayer , W. 1997 . The Banach space of workable contingent claims in arbitrage theory . Annales de l'Institut Henri Poincaré. Probabilités et Statistiques , 33 ( 1 ) : 113 – 144 .
  • Delbaen , F. and Schachermayer , W. 1998 . The fundamental theorem of asset pricing for unbounded stochastic processes . Mathematische Annalen , 312 ( 2 ) : 215 – 250 .
  • German , D. 2011 . Corrections to the prices of derivatives due to market incompleteness . Applied Mathematical Finance , 18 ( 2 ) : 155 – 187 .
  • Henderson , V. 2002 . Valuation of claims on nontraded assets using utility maximization . Mathematical Finance , 12 ( 4 ) : 351 – 373 .
  • Hugonnier , J. and Kramkov , D. 2004 . Optimal investment with random endowments in incomplete markets . The Annals of Applied Probability , 14 ( 2 ) : 845 – 864 .
  • Hugonnier , J. , Kramkov , D. and Schachermayer , W. 2005 . On utility-based pricing of contingent claims in incomplete markets . Mathematical Finance , 15 ( 2 ) : 203 – 212 .
  • Kramkov , D. and Schachermayer , W. 1999 . The asymptotic elasticity of utility functions and optimal investment in incomplete markets . The Annals of Applied Probability , 9 ( 3 ) : 904 – 950 .
  • Kramkov , D. and Sǐrbu , M. 2006a . On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets . The Annals of Applied Probability , 16 ( 3 ) : 1352 – 1384 .
  • Kramkov , D. and Sǐrbu , M. 2006b . Sensitivity analysis of utility-based prices and risk-tolerance wealth processes . The Annals of Applied Probability , 16 ( 4 ) : 2140 – 2194 .
  • Musiela , M. and Zariphopoulou , T. 2004 . An example of indifference prices under exponential preferences . Finance and Stochastics , 8 ( 2 ) : 229 – 239 .
  • Rubinstein , M. 1976 . The valuation of uncertain income streams and the pricing of options . Bell Journal of Economics , 7 : 407 – 425 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.