Explicit Representations for Utility Indifference Prices
From MaRDI portal
Publication:5165000
DOI10.1080/1350486X.2021.1922297zbMath1475.91328OpenAlexW3165559138MaRDI QIDQ5165000
No author found.
Publication date: 15 November 2021
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2021.1922297
stochastic maximum principlerisk aversionutility indifference pricestochastic control problemcontingent claimwealth processinformation premiumenlarged filtration
Cites Work
- Unnamed Item
- Unnamed Item
- Time reversal on Lévy processes
- Rational hedging and valuation of integrated risks under constant absolute risk aversion.
- Optimal investment with random endowments in incomplete markets.
- An example of indifference prices under exponential preferences
- Optimal equivalent probability measures under enlarged filtrations
- Dynamic exponential utility indifference valuation
- Pricing Via Utility Maximization and Entropy
- INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES
- Utility–indifference hedging and valuation via reaction–diffusion systems
- Asymptotic utility-based pricing and hedging for exponential utility
- A Maximum Principle for Stochastic Control with Partial Information
- Exponential Hedging and Entropic Penalties
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
- Financial Modelling with Jump Processes
- Indifference Pricing and Hedging for Volatility Derivatives
- Applied stochastic control of jump diffusions
- Applied stochastic control of jump diffusions
- Utility maximization in incomplete markets with random endowment
This page was built for publication: Explicit Representations for Utility Indifference Prices