On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution

Keyphrases

• Utility Maximization 100%
• Risk-neutral Density 100%
• Implied Risk-neutral Distribution 100%
• Optimization Techniques 50%
• Numerical Examples 50%
• Integer Programming 50%
• Data Market 50%
• Asset Prices 50%
• Options Markets 50%
• Underlying Asset 50%
• Payoff Function 50%
• Program Optimization 50%
• Expected Utility 50%
• Optimal Payoff 50%
• Futures Prices 50%
• Price Distribution 50%
• Asset Price Risk 50%
• Perceived Future 50%
• Geometric Brownian Motion 50%

Mathematics

• Asset Price 100%
• Utility Maximization 100%
• Numerical Example 50%
• Integer Programming 50%
• Exact Result 50%
• Payoff Function 50%
• Underlying Asset 50%
• Future Price 50%
• Geometric Brownian Motion 50%

Economics, Econometrics and Finance

• Levy Process 100%
• Utility Maximization 100%