haku: @author Geman, H. / yhteensä: 4
viite: 2 / 4
| Tekijä: | Carr, P. Geman, H. Madan, D. B. |
| Otsikko: | Pricing and hedging in incomplete markets |
| Lehti: | Journal of Financial Economics
2001 : OCT, VOL. 62:1, p. 131-167 |
| Asiasana: | HEDGING INCOMPLETE MARKETS PRICING RISK MANAGEMENT |
| Kieli: | eng |
| Tiivistelmä: | The authors present a new approach for positioning, pricing, and hedging in incomplete markets that bridges standard arbitrage pricing and expected utility maximization. The approach for determining whether an investor should undertake a particular position involves specifying a set of probability measures and associated floors which expected payoffs must exceed in order for the investor to consider the hedged and financed investment to be acceptable. |
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