Science.Online
Search
Publisher and Institutes
Akademie Verlag
Deutsches Institut für Urbanistik
Oldenbourg Wissenschaftsverlag
Walter de Gruyter
Schattauer
You are here: Home :: Keyword index :: hab bis int :: in vitro haemolysis - incubation methods incomplete markets

Items for "incomplete markets"

Robust utility maximization in a stochastic factor model

We give an explicit PDE characterization for the solution of a robust utility maximization problem in an incomplete market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor process...

Keywords: optimal investment, model uncertainty, incomplete markets, stochastic volatility, coherent risk measures

01/2006 | Statistics & Decisions, Oldenbourg Wissenschaftsverlag
On utility-based derivative pricing with and without intermediate trades

The neutral valuation approach for contingent claims in incomplete markets is based on the assumption that investors are identical utility maximizers and that derivative supply and demand are balanced...

Keywords: neutral derivative pricing, utility-based pricing, incomplete markets, martingales under finitely additive set functions

04/2006 | Statistics & Decisions, Oldenbourg Wissenschaftsverlag