A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
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Publication:2796752
DOI10.1137/15M1040293zbMath1414.91375arXiv1111.3856OpenAlexW3124521563MaRDI QIDQ2796752
Publication date: 29 March 2016
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1111.3856
splitting methodutility indifference pricingcounterparty riskmonotone schemereaction-diffusion PDE with quadratic gradientsshaking the coefficients technique
Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (5)
Utility indifference valuation for non-smooth payoffs with an application to power derivatives ⋮ Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization ⋮ Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices ⋮ An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians ⋮ Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing
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