Forward Exponential Indifference Valuation in an Incomplete Binomial Model (Q4976504): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Rational hedging and valuation of integrated risks under constant absolute risk aversion. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exponential Hedging and Entropic Penalties / 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: Q3868650 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Forward indifference valuation of American options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE / rank
 
Normal rank
Property / cites work
 
Property / cites work: Indifference pricing for CRRA utilities / 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: Q3613974 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5506195 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Asset Allocation under Forward Exponential Performance Criteria / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio choice under dynamic investment performance criteria / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Partial Differential Equations and Portfolio Choice / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio Choice under Space-Time Monotone Performance Criteria / rank
 
Normal rank
Property / cites work
 
Property / cites work: Indifference valuation in incomplete binomial models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Via Utility Maximization and Entropy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuing Oil Properties: Integrating Option Pricing and Decision Analysis Approaches / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuing Risky Projects: Option Pricing Theory and Decision Analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maturity-Independent Risk Measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: A dual characterization of self-generation and exponential forward performances / rank
 
Normal rank

Latest revision as of 04:27, 14 July 2024

scientific article; zbMATH DE number 6754926
Language Label Description Also known as
English
Forward Exponential Indifference Valuation in an Incomplete Binomial Model
scientific article; zbMATH DE number 6754926

    Statements

    Forward Exponential Indifference Valuation in an Incomplete Binomial Model (English)
    0 references
    31 July 2017
    0 references
    forward performance processes
    0 references
    indifference pricing
    0 references
    reverse relative entropy
    0 references
    0 references
    0 references
    0 references

    Identifiers