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Conditional Davis pricing |
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| Authors: | Larsen Kasper Soner Halil Mete ?itkovi? Gordan |
| Institution: | 1.Department of Mathematics, Rutgers University, Piscataway, NJ, 08854, USA ;2.Operations Research and Financial Engineering, Princeton University, Princeton, NJ, 08544, USA ;3.Department of Mathematics, University of Texas at Austin, Austin, TX, 78712, USA ; |
| Abstract: | Finance and Stochastics - We study the set of Davis (marginal utility-based) prices of a financial derivative in the case where the investor has a non-replicable random endowment. We give a new... |
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