Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (Q997416): Difference between revisions

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Latest revision as of 12:06, 26 June 2024

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Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
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    Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (English)
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    6 August 2007
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    backward stochastic differential equations
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    random measures
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    utility optimization
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    dynamic indifference valuation
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    incomplete markets
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    hedging
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    entropy
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