Utility–indifference hedging and valuation via reaction–diffusion systems

DOI10.1098/RSPA.2003.1234zbMath1087.91019OpenAlexW2011496907MaRDI QIDQ3043425

Dirk Becherer

Publication date: 6 August 2004

Published in: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/69

zbMATH Keywords

incomplete marketsutility functionspricing

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Financial applications of other theories (91G80) Stochastic integrals (60H05) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)

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