Conditional Davis pricing
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DOI: 10.1007/s00780-020-00424-5
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More about this item
Keywords
Unspanned endowment; Incomplete markets; Utility maximisation; Non-smoothness; Marginal utility-based pricing;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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