142 citations · 142 across the 2 of their papers we have counts for
3 papers
math.PR2009
Risk-averse asymptotics for reservation prices
Laurence Carassus, Miklos Rasonyi
An investor's risk aversion is assumed to tend to infinity. In a fairly general setting, we present conditions ensuring that the respective utility indifference prices of a given c…
q-fin.PR2008★ 142 cited
Consistent price systems and face-lifting pricing under transaction costs
Paolo Guasoni, Miklós Rásonyi, Walter Schachermayer
In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has condi…
math.PR2005
On utility maximization in discrete-time financial market models
Miklos Rasonyi, Lukasz Stettner
We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing e…