Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk

By Ewald Christian-Oliver  

Mathematical Methods of Operations Research, Vol. 68, Iss. 1, 2008-08 ,pp. : 97-123

Springer Publishing Company

Access to resources Recommend Favorite

Utility function under risk: An ergodic approach

By Levchenkov V.  

Computational Mathematics and Modeling, Vol. 18, Iss. 2, 2007-04 ,pp. : 203-215

Springer Publishing Company

Access to resources Recommend Favorite

Partial derivatives, comparative risk behavior and concavity of utility functions

By Lajeri-Chaherli F.  

Mathematical Social Sciences, Vol. 46, Iss. 1, 2003-08 ,pp. : 81-99

Elsevier

Access to resources Recommend Favorite

Power Utility Maximization in an Exponential Lévy Model Without a Risk-free Asset

By Zhou Qing  

Acta Mathematicae Applicatae Sinica, Vol. 21, Iss. 1, 2005-02 ,pp. : 145-152

Springer Publishing Company

Access to resources Recommend Favorite

Option pricing by large risk aversion utility¶under transaction costs

By Bouchard B.   Kabanov Yu. M.   Touzi N.  

Decisions in Economics and Finance, Vol. 24, Iss. 2, 2001-11 ,pp. : 127-136

Springer Publishing Company

Access to resources Recommend Favorite