6 citations · 13 across the 16 of their papers we have counts for
Showing 2006 · math.PRShow all
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math.PR2006
On utility-based super-replication prices of contingent claims with unbounded payoffs
Frank Oertel, Mark Owen
Consider a financial market in which an agent trades with utility-induced restrictions on wealth. For a utility function which satisfies the condition of reasonable asymptotic elas…
math.PR2006
On random measures, unordered sums and discontinuities of the first kind
Frank Oertel
By investigating in detail discontinuities of the first kind of real-valued functions and the analysis of unordered sums, where the summands are given by values of a positive real-…
math.PR2006★ 1 cited
Geometry of polar wedges and super-replication prices in incomplete financial markets
Frank Oertel, Mark P. Owen
Consider a financial market in which an agent trades with utility-induced restrictions on wealth. By introducing a general convex-analytic framework which includes the class of umb…