Utility indifference valuation for non-smooth payoffs with an application to power derivatives (Q282083): Difference between revisions
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Revision as of 12:06, 18 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Utility indifference valuation for non-smooth payoffs with an application to power derivatives |
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Utility indifference valuation for non-smooth payoffs with an application to power derivatives (English)
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12 May 2016
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utility indifference pricing
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backward stochastic differential equations
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optimal investment
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viscosity solutions
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electricity markets
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