Utility indifference valuation for jump risky assets (Q651335): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s10203-010-0107-6 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1986303182 / 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: Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Existence of Minimax Martingale Measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bond Market Structure in the Presence of Marked Point Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH / rank
 
Normal rank
Property / cites work
 
Property / cites work: Utility-based hedging and pricing with a nontraded asset for jump processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exponential Hedging and Entropic Penalties / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3721531 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4032143 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk Minimization with Incomplete Information in a Model for High-Frequency Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the minimal entropy martingale measure. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Utility maximization in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Via Utility Maximization and Entropy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Existence of Markov Controls and Characterization of Optimal Markov Controls / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exponential utility maximization under partial information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic exponential utility indifference valuation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic partial differential equations related to utility maximization and hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimum consumption and portfolio rules in a continuous-time model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Utility maximization in a jump market model / rank
 
Normal rank
Property / cites work
 
Property / cites work: An example of indifference prices under exponential preferences / 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: Q4357511 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4657108 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A solution approach to valuation with unhedgeable risks / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 17:18, 4 July 2024

scientific article
Language Label Description Also known as
English
Utility indifference valuation for jump risky assets
scientific article

    Statements

    Utility indifference valuation for jump risky assets (English)
    0 references
    0 references
    0 references
    13 December 2011
    0 references
    utility maximization
    0 references
    backward stochastic differential equations
    0 references
    jump processes
    0 references
    dynamic indifference valuation
    0 references
    minimal entropy measure
    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