VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION-Reference-Cited by-同舟云学术

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VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

Published:2002-10 Issue:4 Volume:12 Page:351-373
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Henderson Vicky

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2002.tb00129.x/fullpdf

Reference30 articles.

1. D. Becherer(2001 ): Rational Hedging and Valuation with Utility Based Preferences . Ph.D. dissertation , Technische Universitat. Berlin.

2. Utility maximization in incomplete markets with random endowment

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