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Optimal investment with derivative securities |
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| Authors: | Aytaç Ílhan Mattias Jonsson Ronnie Sircar |
| Affiliation: | (1) Mathematical Institute, University of Oxford, OX1 3LB Oxford, UK;(2) Department of Mathematics, University of Michigan, MI 48109-1109 Ann Arbor, USA;(3) Department of Operations Research & Financial Engineering, Princeton University, E-Quad, NJ 08544 Princeton, USA |
| Abstract: | |
| Keywords: | Utility maximization convex duality incomplete markets indifference price |
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