Utility indifference valuation for non-smooth payoffs with an application to power derivatives (Q282083): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension / rank
 
Normal rank
Property / cites work
 
Property / cites work: PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS / rank
 
Normal rank
Property / cites work
 
Property / cites work: A DIFFUSION MODEL FOR ELECTRICITY PRICES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Rational hedging and valuation of integrated risks under constant absolute risk aversion. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quadratic BSDEs with convex generators and unbounded terminal conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Utility maximization in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Electricity price modeling and asset valuation: a multi-fuel structural approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4218383 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Via Utility Maximization and Entropy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4086303 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Controlled Markov processes and viscosity solutions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exponential utility indifference valuation in two Brownian settings with stochastic correlation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A survey and some generalizations of Bessel processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3613975 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Differentiability of quadratic BSDEs generated by continuous martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bounds for the utility-indifference prices of non-traded assets in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations and partial differential equations with quadratic growth. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3215519 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Forward-backward stochastic differential equations and their applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Representation theorems for backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adapted solution of a backward stochastic differential equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2771116 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random / rank
 
Normal rank
Property / cites work
 
Property / cites work: Representation of solutions to BSDEs associated with a degenerate FSDE / rank
 
Normal rank

Latest revision as of 22:34, 11 July 2024

scientific article
Language Label Description Also known as
English
Utility indifference valuation for non-smooth payoffs with an application to power derivatives
scientific article

    Statements

    Utility indifference valuation for non-smooth payoffs with an application to power derivatives (English)
    0 references
    0 references
    0 references
    12 May 2016
    0 references
    utility indifference pricing
    0 references
    backward stochastic differential equations
    0 references
    optimal investment
    0 references
    viscosity solutions
    0 references
    electricity markets
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references