The Dynamicq-Valuation of a Contingent Claim in a Continuous Market Model

DOI10.1080/07362990802564814zbMath1154.60337OpenAlexW2005092028MaRDI QIDQ3611811

Dewen Xiong, Michael Kohlmann

Publication date: 3 March 2009

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990802564814

zbMATH Keywords

\(p\)-optimal martingale measure\(q\)-valuationbackward semimartingale equation (BSE)convex risk valuation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

Related Items (1)

The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps

Cites Work

• Unnamed Item
• Continuous exponential martingales and BMO
• An example of indifference prices under exponential preferences
• Inf-convolution of risk measures and optimal risk transfer
• Dynamic exponential utility indifference valuation
• Utility–indifference hedging and valuation via reaction–diffusion systems
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES

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