Pricing jump risk with utility indifference

DOI10.1080/14697680701881771zbMath1158.91393OpenAlexW2152615298MaRDI QIDQ3623407

Lixin Wu, Min Dai

Publication date: 20 April 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701881771

zbMATH Keywords

numerical methodoption pricingjump-diffusion processesutility indifference prices

Mathematics Subject Classification ID

Applications of branching processes (60J85)

Related Items (3)

Approximate indifference pricing in exponential Lévy models ⋮ Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims ⋮ Bond indifference prices

Cites Work

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• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model
• European Option Pricing with Transaction Costs
• Option pricing when underlying stock returns are discontinuous
• Introduction to a theory of value coherent with the no-arbitrage principle
• Utility maximization in incomplete markets with random endowment

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