Pages that link to "Item:Q2707148"
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The following pages link to Pricing via utility maximization and entropy. (Q2707148):
Displaying 50 items.
- A note on utility based pricing and asymptotic risk diversification (Q1938975) (← links)
- Optimal investment under multiple defaults risk: a BSDE-decomposition approach (Q1948694) (← links)
- Utility indifference pricing and hedging for structured contracts in energy markets (Q2014372) (← links)
- The link between stochastic differential equations with non-Markovian coefficients and backward stochastic partial differential equations (Q2025270) (← links)
- Indifference pricing of insurance-linked securities in a multi-period model (Q2029066) (← links)
- The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time (Q2038277) (← links)
- Mean field portfolio games (Q2111248) (← links)
- BSDEs and log-utility maximization for Lévy processes (Q2178928) (← links)
- On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration (Q2190063) (← links)
- Indifference pricing under SAHARA utility (Q2223856) (← links)
- Mixed linear quadratic stochastic differential leader-follower game with input constraint (Q2238958) (← links)
- Utility maximization via decoupling fields (Q2240471) (← links)
- Generalized entropic risk measures and related BSDEs (Q2244447) (← links)
- Characterization of the value process in robust efficient hedging (Q2247915) (← links)
- Optimal investment and contingent claim valuation in illiquid markets (Q2255004) (← links)
- Backward stochastic partial differential equations related to utility maximization and hedging (Q2255961) (← links)
- Event risk, contingent claims and the temporal resolution of uncertainty (Q2257042) (← links)
- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem (Q2271730) (← links)
- A note on FBSDE characterization of mean exit times (Q2272016) (← links)
- Optimal investment with derivatives and pricing in an incomplete market (Q2291996) (← links)
- A semigroup approach to generalized Black-Scholes type equations in incomplete markets (Q2315047) (← links)
- A note on utility-based pricing (Q2351402) (← links)
- Indifference pricing for CRRA utilities (Q2392015) (← links)
- Convex pricing by a generalized entropy penalty (Q2426607) (← links)
- On convergence to the exponential utility problem (Q2464849) (← links)
- Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator (Q2498190) (← links)
- Asymptotic option price with bounded expected loss (Q2510032) (← links)
- Robust optimal risk sharing and risk premia in expanding pools (Q2520446) (← links)
- Utility maximization in incomplete markets (Q2572389) (← links)
- Dynamic exponential utility indifference valuation (Q2572403) (← links)
- A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem (Q2638356) (← links)
- On the backward stochastic differential equation with generator \(f(y)|z|^2\) (Q2661266) (← links)
- CVaR hedging using quantization-based stochastic approximation algorithm (Q2788694) (← links)
- Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions (Q2792367) (← links)
- OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY (Q2986671) (← links)
- INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES (Q3008484) (← links)
- BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs (Q3178727) (← links)
- A subjective supply–demand model: the maximum Boltzmann/Shannon entropy solution (Q3301040) (← links)
- UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH (Q3460679) (← links)
- MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS (Q3553254) (← links)
- PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS (Q3553257) (← links)
- ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS (Q3576956) (← links)
- OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING (Q3608738) (← links)
- CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (Q3650923) (← links)
- Multiasset Derivatives and Joint Distributions of Asset Prices (Q4561945) (← links)
- GUARANTEE VALUATION IN NOTIONAL DEFINED CONTRIBUTION PENSION SYSTEMS (Q4563781) (← links)
- Principal-Agent Problem with Common Agency Without Communication (Q4579842) (← links)
- Approximate indifference pricing in exponential Lévy models (Q4585675) (← links)
- Indifference fee rate for variable annuities (Q4585679) (← links)
- IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION (Q4595297) (← links)
