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20052026
most citedUtility Maximization with a Stochastic Clock and an Unbounded Random Endowment

54 citations · 93 across the 23 of their papers we have counts for

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Showing 2008Show all

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q-fin.PR2008

On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets

Michail Anthropelos, Gordan Zitkovic

We consider two risk-averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assum…