Utility indifference valuation for non-smooth payoffs with an application to power derivatives (Q282083): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / zbMATH DE Number: 6579497 / rank | |||
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utility indifference pricing | |||
| Property / zbMATH Keywords: utility indifference pricing / rank | |||
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backward stochastic differential equations | |||
| Property / zbMATH Keywords: backward stochastic differential equations / rank | |||
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optimal investment | |||
| Property / zbMATH Keywords: optimal investment / rank | |||
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viscosity solutions | |||
| Property / zbMATH Keywords: viscosity solutions / rank | |||
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electricity markets | |||
| Property / zbMATH Keywords: electricity markets / rank | |||
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Revision as of 17:48, 27 June 2023
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)
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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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