A maximum principle approach to risk indifference pricing with partial information (Q1009400)
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scientific article; zbMATH DE number 5538663
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A maximum principle approach to risk indifference pricing with partial information |
scientific article; zbMATH DE number 5538663 |
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A maximum principle approach to risk indifference pricing with partial information (English)
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1 April 2009
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Summary: We consider the problem of risk indifference pricing on an incomplete market, namely on a jump diffusion market where the controller has limited access to market information. We use the maximum principle for stochastic differential games to derive a formula for the risk indifference price \(p_{\text{risk}}^{\text{seller}}(G,\mathcal E)\) of a European-type claim \(G\).
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