Pricing of contingent claims in large markets
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DOI: 10.1007/s00780-024-00554-0
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More about this item
Keywords
Infinite-dimensional stochastic control; Large market; Indifference pricing; Fair pricing; Davis pricing; Utility-based pricing; Arbitrage-free pricing; Asymptotic replicability; Duality theory; Semimartingale; Incomplete market;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
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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