Explicit Representations for Utility Indifference Prices

DOI10.1080/1350486X.2021.1922297zbMath1475.91328OpenAlexW3165559138MaRDI QIDQ5165000

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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

zbMATH Keywords

stochastic maximum principlerisk aversionutility indifference pricestochastic control problemcontingent claimwealth processinformation premiumenlarged filtration

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

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