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q-fin.MF2022
Pricing principle via Tsallis relative entropy in incomplete market
Dejian Tian
A pricing principle is introduced for non-attainable -exponential bounded contingent claims in an incomplete Brownian motion market setting. The buyer evaluates the contingent c…
q-fin.MF2021
Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints
Zixin Feng, Dejian Tian
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. Closed, not necessarily convex, constraints are imposed…