A maximum principle approach to risk indifference pricing with partial information (Q1009400): Difference between revisions
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Property / cites work: Applied stochastic control of jump diffusions / rank | |||
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Property / cites work: Risk measure pricing and hedging in incomplete markets / rank | |||
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Property / cites work: DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES / rank | |||
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Property / cites work: Convex measures of risk and trading constraints / rank | |||
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Property / cites work: Maximum principle for stochastic differential games with partial information / rank | |||
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Property / cites work: Minimum principle sufficiency / rank | |||
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Latest revision as of 11:12, 1 July 2024
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English | A maximum principle approach to risk indifference pricing with partial information |
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A maximum principle approach to risk indifference pricing with partial information (English)
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1 April 2009
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Summary: We consider the problem of risk indifference pricing on an incomplete market, namely on a jump diffusion market where the controller has limited access to market information. We use the maximum principle for stochastic differential games to derive a formula for the risk indifference price \(p_{\text{risk}}^{\text{seller}}(G,\mathcal E)\) of a European-type claim \(G\).
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