Bounds for the utility-indifference prices of non-traded assets in incomplete markets

DOI10.1007/S10203-005-0053-XzbMath1125.91346OpenAlexW1964226766MaRDI QIDQ816441

David G. Hobson

Publication date: 9 March 2006

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

Full work available at URL: https://doi.org/10.1007/s10203-005-0053-x

Mathematics Subject Classification ID

Utility theory (91B16) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (5)

Utility indifference valuation for non-smooth payoffs with an application to power derivatives ⋮ Valuation of power plants by utility indifference and numerical computation ⋮ DO ARBITRAGE‐FREE PRICES COME FROM UTILITY MAXIMIZATION? ⋮ A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES ⋮ GARCH options via local risk minimization

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