INDIFFERENCE PRICES AND IMPLIED VOLATILITIES

Mathematical Finance ◽

10.1111/mafi.12129 ◽

2016 ◽

Vol 28 (1) ◽

pp. 372-408 ◽

Cited By ~ 4

Author(s):

Matthew Lorig

Keyword(s):

Indifference Prices

Download Full-text

A model for a large investor trading at market indifference prices. II: Continuous-time case

The Annals of Applied Probability ◽

10.1214/14-aap1059 ◽

2015 ◽

Vol 25 (5) ◽

pp. 2708-2742 ◽

Cited By ~ 17

Author(s):

Peter Bank ◽

Dmitry Kramkov

Keyword(s):

Continuous Time ◽

Investor Trading ◽

Indifference Prices

Download Full-text

Indifference Prices, Implied Volatilities and Implied Sharpe Ratios

SSRN Electronic Journal ◽

10.2139/ssrn.2539802 ◽

2014 ◽

Cited By ~ 2

Author(s):

Matthew Lorig

Keyword(s):

Sharpe Ratios ◽

Indifference Prices

Download Full-text

Explicit Representations for Utility Indifference Prices

SSRN Electronic Journal ◽

10.2139/ssrn.3751344 ◽

2020 ◽

Author(s):

Markus Hess

Keyword(s):

Explicit Representations ◽

Utility Indifference ◽

Indifference Prices

Download Full-text

Convergence of Utility Indifference Prices to the Superreplication Price

Mathematical Methods of Operations Research ◽

10.1007/s00186-006-0074-4 ◽

2006 ◽

Vol 64 (1) ◽

pp. 145-154 ◽

Cited By ~ 10

Author(s):

Laurence Carassus ◽

Miklós Rásonyi

Keyword(s):

Utility Indifference ◽

Indifference Prices

Download Full-text

Indifference prices of early exercise claims

Contemporary Mathematics - Mathematics of Finance ◽

10.1090/conm/351/06408 ◽

2004 ◽

pp. 259-271 ◽

Cited By ~ 4

Author(s):

Marek Musiela ◽

Thaleia Zariphopoulou

Keyword(s):

Early Exercise ◽

Indifference Prices

Download Full-text

Time-Consistency of Indifference Prices and Monetary Utility Functions

SSRN Electronic Journal ◽

10.2139/ssrn.877313 ◽

2006 ◽

Cited By ~ 7

Author(s):

Patrick Cheridito ◽

Michael Kupper

Keyword(s):

Time Consistency ◽

Utility Functions ◽

Monetary Utility Functions ◽

Indifference Prices

Download Full-text

Superreplication when trading at market indifference prices

Finance and Stochastics ◽

10.1007/s00780-015-0278-7 ◽

2015 ◽

Vol 20 (1) ◽

pp. 153-182

Author(s):

Peter Bank ◽

Selim Gökay

Keyword(s):

Indifference Prices

Download Full-text

Bounds for the utility-indifference prices of non-traded assets in incomplete markets

Decisions in Economics and Finance ◽

10.1007/s10203-005-0053-x ◽

2005 ◽

Vol 28 (1) ◽

pp. 33-52 ◽

Cited By ~ 8

Author(s):

D.G. Hobson

Keyword(s):

Incomplete Markets ◽

Utility Indifference ◽

Indifference Prices

Download Full-text

A model for a large investor trading at market indifference prices. I: Single-period case

Finance and Stochastics ◽

10.1007/s00780-015-0258-y ◽

2015 ◽

Vol 19 (2) ◽

pp. 449-472 ◽

Cited By ~ 16

Author(s):

Peter Bank ◽

Dmitry Kramkov

Keyword(s):

Single Period ◽

Investor Trading ◽

Indifference Prices

Download Full-text

Recursiveness of indifference prices and translation-invariant preferences

Mathematics and Financial Economics ◽

10.1007/s11579-009-0020-3 ◽

2009 ◽

Vol 2 (3) ◽

pp. 173-188 ◽

Cited By ~ 37

Author(s):

Patrick Cheridito ◽

Michael Kupper

Keyword(s):

Translation Invariant ◽

Indifference Prices

Download Full-text