A valuation algorithm for indifference prices in incomplete markets

DOI10.1007/S00780-003-0117-0zbMath1097.91046OpenAlexW1972459237MaRDI QIDQ1776009

Marek Musiela, Thaleia Zariphopoulou

Publication date: 20 May 2005

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-003-0117-0

zbMATH Keywords

incomplete marketsindifference pricesnonlinear pricing algorithm

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

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