Utility indifference valuation for jump risky assets
type: Item
instance of: scholarly article
title: Utility indifference valuation for jump risky assets
zbMATH Open document ID: 1273.91192
author: Claudia Ceci
author: Anna Gerardi
published in: Decisions in Economics and Finance
publication date: 2011-12-13T00:00:00Z
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 5988007
zbMATH Keywords: utility maximization
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: jump processes
zbMATH Keywords: dynamic indifference valuation
zbMATH Keywords: minimal entropy measure
MaRDI profile type: Publication
full work available at URL: s10203-010-0107-6
OpenAlex ID: W1986303182
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DOI: 10.1007/S10203-010-0107-6
description: scientific article; zbMATH DE number 5988007