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

@@ Property / Mathematics Subject Classification ID @@
+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H10
@@ Property / Mathematics Subject Classification ID: 60H10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H07
@@ Property / Mathematics Subject Classification ID: 60H07 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+L25
@@ Property / Mathematics Subject Classification ID: 49L25 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+N15
@@ Property / Mathematics Subject Classification ID: 49N15 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6579497
@@ Property / zbMATH DE Number: 6579497 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+utility indifference pricing
@@ Property / zbMATH Keywords: utility indifference pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+backward stochastic differential equations
@@ Property / zbMATH Keywords: backward stochastic differential equations / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal investment
@@ Property / zbMATH Keywords: optimal investment / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+viscosity solutions
@@ Property / zbMATH Keywords: viscosity solutions / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+electricity markets
@@ Property / zbMATH Keywords: electricity markets / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W1749637740
@@ Property / OpenAlex ID: W1749637740 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.4591
@@ Property / arXiv ID: 1307.4591 / rank @@
+Normal rank
@@ Property / cites work @@
+A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES
+Normal rank
@@ Property / cites work @@
+A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension
+Normal rank
@@ Property / cites work @@
+PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS
+Normal rank
@@ Property / cites work @@
+A DIFFUSION MODEL FOR ELECTRICITY PRICES
@@ Property / cites work: A DIFFUSION MODEL FOR ELECTRICITY PRICES / rank @@
+Normal rank
@@ Property / cites work @@
+Rational hedging and valuation of integrated risks under constant absolute risk aversion.
+Normal rank
@@ Property / cites work @@
+Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
+Normal rank
@@ Property / cites work @@
+Quadratic BSDEs with convex generators and unbounded terminal conditions
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Electricity price modeling and asset valuation: a multi-fuel structural approach
+Normal rank
@@ Property / cites work @@
+Q4218383
@@ Property / cites work: Q4218383 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Via Utility Maximization and Entropy
@@ Property / cites work: Pricing Via Utility Maximization and Entropy / rank @@
+Normal rank
@@ Property / cites work @@
+Q4086303
@@ Property / cites work: Q4086303 / rank @@
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank
@@ Property / cites work @@
+Exponential utility indifference valuation in two Brownian settings with stochastic correlation
+Normal rank
@@ Property / cites work @@
+A survey and some generalizations of Bessel processes
+Normal rank
@@ Property / cites work @@
+VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
+Normal rank
@@ Property / cites work @@
+A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
+Normal rank
@@ Property / cites work @@
+Q3613975
@@ Property / cites work: Q3613975 / rank @@
+Normal rank
@@ Property / cites work @@
+Differentiability of quadratic BSDEs generated by continuous martingales
+Normal rank
@@ Property / cites work @@
+Bounds for the utility-indifference prices of non-traded assets in incomplete markets
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+Q3215519
@@ Property / cites work: Q3215519 / rank @@
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and their applications
+Normal rank
@@ Property / cites work @@
+Representation theorems for backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems
+Normal rank
@@ Property / cites work @@
+OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
+Normal rank
@@ Property / cites work @@
+Q2771116
@@ Property / cites work: Q2771116 / rank @@
+Normal rank
@@ Property / cites work @@
+Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
+Normal rank
@@ Property / cites work @@
+Representation of solutions to BSDEs associated with a degenerate FSDE
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:282083