Forward Exponential Performances: Pricing and Optimal Risk Sharing

DOI10.1137/130910087zbMath1308.91154arXiv1109.3908OpenAlexW1983895730MaRDI QIDQ2940775

Michail Anthropelos

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.3908

zbMATH Keywords

exponential utilityindifference pricecontingent claim pricingoptimal risk sharingstochastic utilityforward performance criteriastochastic risk aversion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

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