The author thanks David Hobson for many helpful conversations, and Rafal Wojakowski and Glenn Kentwell for useful comments. Thanks also go to seminar participants at ETH Zurich, at Kings' College London, Lancaster, and Bath, and at the 5th Annual conference on Real Options UCLA, the 14th Annual FORC conference, and RISK Math Week London.
VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
Article first published online: 8 JAN 2007
Volume 12, Issue 4, pages 351–373, October 2002
How to Cite
Henderson, V. (2002), VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION. Mathematical Finance, 12: 351–373. doi: 10.1111/j.1467-9965.2002.tb00129.x
- Issue published online: 8 JAN 2007
- Article first published online: 8 JAN 2007
- Manuscript received June 2001.
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