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q-fin.MF2015
The pricing of contingent claims and optimal positions in asymptotically complete markets
Michail Anthropelos, Scott Robertson, Konstantinos Spiliopoulos
We study utility indifference prices and optimal purchasing quantities for a contingent claim, in an incomplete semi-martingale market, in the presence of vanishing hedging errors…
econ.GN2015
An equilibrium model for spot and forward prices of commodities
Michail Anthropelos, Michael Kupper, Antonis Papapantoleon
We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward con…