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- Choi, Jin Hyuk
- Mathematical Finance Lab.
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| DC Field | Value | Language |
|---|---|---|
| dc.citation.endPage | 679 | - |
| dc.citation.number | 3 | - |
| dc.citation.startPage | 653 | - |
| dc.citation.title | FINANCE AND STOCHASTICS | - |
| dc.citation.volume | 19 | - |
| dc.contributor.author | Choi, Jin Hyuk | - |
| dc.contributor.author | Larsen, Kasper | - |
| dc.date.accessioned | 2023-12-22T01:07:12Z | - |
| dc.date.available | 2023-12-22T01:07:12Z | - |
| dc.date.created | 2016-08-25 | - |
| dc.date.issued | 2015-07 | - |
| dc.description.abstract | In the setting of exponential investors and uncertainty governed by Brownian motions, we first prove the existence of an incomplete equilibrium for a general class of models. We then introduce a tractable class of exponential-quadratic models and prove that the corresponding incomplete equilibrium is characterized by a coupled set of Riccati equations. Finally, we prove that these exponential-quadratic models can be used to approximate the incomplete models we studied in the first part | - |
| dc.identifier.bibliographicCitation | FINANCE AND STOCHASTICS, v.19, no.3, pp.653 - 679 | - |
| dc.identifier.doi | 10.1007/s00780-015-0268-9 | - |
| dc.identifier.issn | 0949-2984 | - |
| dc.identifier.scopusid | 2-s2.0-84937812534 | - |
| dc.identifier.uri | https://scholarworks.unist.ac.kr/handle/201301/20299 | - |
| dc.identifier.url | http://link.springer.com/article/10.1007%2Fs00780-015-0268-9 | - |
| dc.identifier.wosid | 000358192100006 | - |
| dc.language | 영어 | - |
| dc.publisher | SPRINGER HEIDELBERG | - |
| dc.title | Taylor approximation of incomplete Radner equilibrium models | - |
| dc.type | Article | - |
| dc.description.journalRegisteredClass | scie | - |
| dc.description.journalRegisteredClass | ssci | - |
| dc.description.journalRegisteredClass | scopus | - |
| dc.subject.keywordAuthor | Continuous time | - |
| dc.subject.keywordAuthor | Interest rate | - |
| dc.subject.keywordAuthor | Market price of risk | - |
| dc.subject.keywordAuthor | Holder spaces | - |
| dc.subject.keywordAuthor | Exponential utilities | - |
| dc.subject.keywordPlus | MARKETS | - |
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