UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES

DOI10.1142/S0219024909005117zbMath1205.91077OpenAlexW2049495782MaRDI QIDQ3632194

Fred Espen Benth, Frank Norbert Proske

Publication date: 23 June 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005117

zbMATH Keywords

correlationutilityhedgingriskutility indifference pricingarbitrage-free pricinginterest-rate guarantees

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Strong solutions of stochastic equations with singular time dependent drift
• An example of indifference prices under exponential preferences
• Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
• Dynamic exponential utility indifference valuation
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• The impact of the market portfolio on the valuation, incentives and optimality of executive stock options