Utility indifference valuation for non-smooth payoffs with an application to power derivatives (Q282083): Difference between revisions
From MaRDI portal
Changed an Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 01:55, 30 January 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
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
