Utility indifference valuation for jump risky assets

DOI10.1007/s10203-010-0107-6zbMath1273.91192MaRDI QIDQ651335

Anna Gerardi, Claudia Ceci

Publication date: 13 December 2011

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-010-0107-6

zbMATH Keywords

backward stochastic differential equations; jump processes; utility maximization; minimal entropy measure; dynamic indifference valuation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

91G80: Financial applications of other theories

91G10: Portfolio theory

Related Items

UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS, Indifference pricing of pure endowments via BSDEs under partial information, APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES, Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator, A BSDE-based approach for the optimal reinsurance problem under partial information, BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk

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