Utility indifference pricing and hedging for structured contracts in energy markets
DOI10.1007/s00186-016-0569-6zbMath1414.91363arXiv1407.7725OpenAlexW2142565351WikidataQ59605739 ScholiaQ59605739MaRDI QIDQ2014372
Luciano Campi, Valeria Giusto, Tiziano Vargiolu, Giorgia Callegaro
Publication date: 11 August 2017
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.7725
viscosity solutionsHJB equationsutility indifference pricingminimal entropy martingale measureswing contractvirtual storage contract
Numerical methods (including Monte Carlo methods) (91G60) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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