Closed-Form Solutions for Options in Incomplete Markets

2013 ◽  
Author(s):  
Oana Floroiu ◽  
Antoon A. J. Pelsser
Keyword(s):  
Closed Form ◽  
Incomplete Markets ◽  
Closed Form Solutions

scholarly journals Optimal consumption of multiple goods in incomplete markets

2018 ◽  
Vol 55 (3) ◽  
pp. 810-822
Author(s):  
Oleksii Mostovyi
Keyword(s):  
Closed Form ◽  
Incomplete Markets ◽  
Existence And Uniqueness ◽  
Dual Problem ◽  
Optimal Consumption ◽  
Closed Form Solutions ◽  
Uniqueness Of The Solution ◽  
Incomplete Models

Abstract We consider the problem of optimal consumption of multiple goods in incomplete semimartingale markets. We formulate the dual problem and identify conditions that allow for the existence and uniqueness of the solution, and provide a characterization of the optimal consumption strategy in terms of the dual optimizer. We illustrate our results with examples in both complete and incomplete models. In particular, we construct closed-form solutions in some incomplete models.

Closed Form Solutions of Joint Water-Filling for Coordinated Transmission

2010 ◽  
Vol E93-B (12) ◽  
pp. 3461-3468 ◽  
Author(s):  
Bing LUO ◽  
Qimei CUI ◽  
Hui WANG ◽  
Xiaofeng TAO ◽  
Ping ZHANG
Keyword(s):  
Closed Form ◽  
Closed Form Solutions ◽  
Water Filling
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