RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS

DOI10.1111/j.1467-9965.2009.00382.xzbMath1187.91105OpenAlexW2000751531MaRDI QIDQ3650925

Agnès Sulem, Bernt Øksendal

Publication date: 7 December 2009

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

Full work available at URL: http://hdl.handle.net/10852/10522

zbMATH Keywords

viscosity solutionincomplete marketsuperreplicationstochastic differential gamerisk measurejump diffusion marketrisk indifference pricing principle

Mathematics Subject Classification ID

Related Items (15)

Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors ⋮ A functional Itô's calculus approach to convex risk measures with jump diffusion ⋮ Portfolio Optimization with Quasiconvex Risk Measures ⋮ Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case ⋮ Backward stochastic differential equations approach to hedging, option pricing, and insurance problems ⋮ Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds ⋮ Stochastic Homogenization for Some Nonlinear Integro-Differential Equations ⋮ On dynamic programming equations for utility indifference pricing under delta constraints ⋮ Efficient estimation and filtering for multivariate jump-diffusions ⋮ A class of stochastic Fredholm-algebraic equations and applications in finance ⋮ Risk-sensitive zero-sum stochastic differential game for jump-diffusions ⋮ Robust optimal investment and reinsurance of an insurer under jump-diffusion models ⋮ A risk-based approach for pricing American options under a generalized Markov regime-switching model ⋮ CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS ⋮ Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model

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