Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities

DOI10.1134/S0081543814080057zbMath1403.91338OpenAlexW2170892542MaRDI QIDQ492168

Lioudmila Vostrikova, Anastasiya Ellanskaya

Publication date: 20 August 2015

Published in: Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0081543814080057

zbMATH Keywords

incomplete marketEuropean--type contingent claimindifferent price.semi-martingale modelutility maximisation problem

Mathematics Subject Classification ID

Related Items (2)

Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process ⋮ Expected Utility Maximization for Exponential Lévy Models with Option and Information Processes

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