10 citations · 11 across the 2 of their papers we have counts for
3 papers
q-fin.PR2009★ 1 cited
Indifference price with general semimartingales
Sara Biagini, Marco Frittelli, Matheus R. Grasselli
For utility functions finite valued on , we prove a duality formula for utility maximization with random endowment in general semimartingale incomplete markets. The…
math.PR2008★ 10 cited
A unified framework for utility maximization problems: An Orlicz space approach
Sara Biagini, Marco Frittelli
We consider a stochastic financial incomplete market where the price processes are described by a vector-valued semimartingale that is possibly nonlocally bounded. We face the clas…
math.PR2005
On the super replication price of unbounded claims
Sara Biagini, Marco Frittelli
In an incomplete market the price of a claim f in general cannot be uniquely identified by no arbitrage arguments. However, the ``classical'' super replication price is a sensible…