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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★ 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…