38 citations · 106 across the 20 of their papers we have counts for
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cond-mat.dis-nn1998★ 1 cited
A general methodology to price and hedge derivatives in incomplete markets
E. Aurell, R. Baviera, O. Hammarlid +2
We introduce and discuss a general criterion for the derivative pricing in the general situation of incomplete markets, we refer to it as the No Almost Sure Arbitrage Principle. Th…
cond-mat.dis-nn1998
Optimal Strategies for Prudent Investors
R. Baviera, M. Pasquini, M. Serva +1
We consider a stochastic model of investment on an asset of a stock market for a prudent investor. She decides to buy permanent goods with a fraction $\a$ of the maximum amount of…