Utility indifference valuation for jump risky assets

DOI10.1007/s10203-010-0107-6zbMath1273.91192OpenAlexW1986303182MaRDI QIDQ651335

Anna Gerardi, Claudia Ceci

Publication date: 13 December 2011

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-010-0107-6

zbMATH Keywords

backward stochastic differential equationsjump processesutility maximizationminimal entropy measuredynamic indifference valuation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items

Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator ⋮ A BSDE-based approach for the optimal reinsurance problem under partial information ⋮ Indifference pricing of pure endowments via BSDEs under partial information ⋮ UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS ⋮ BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk ⋮ APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES

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