Convexity bounds for BSDE solutions, with applications to indifference valuation

DOI10.1007/s00440-010-0273-zzbMath1227.60073OpenAlexW2144035294MaRDI QIDQ718884

Semyon Malamud, Martin Schweizer, Christoph Frei

Publication date: 27 September 2011

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/19094

zbMATH Keywords

exponential utilityquadratic BSDEsymmetrisationconvexity boundsindifference valuation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Related Items (4)

Pricing Principle via Tsallis Relative Entropy in Incomplete Markets ⋮ Pseudo linear pricing rule for utility indifference valuation ⋮ Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach ⋮ Convergence results for the indifference value based on the stability of BSDEs

Cites Work

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• Exponential utility indifference valuation in two Brownian settings with stochastic correlation
• PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS
• Backward Stochastic Differential Equations in Finance
• Borel Measurability in Linear Algebra

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