Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random

DOI10.1137/S0363012903409253zbMath1101.91049MaRDI QIDQ4652585

Thaleia Zariphopoulou, Ronnie Sircar

Publication date: 28 February 2005

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityderivative pricingfinancial mathematicsutility indifference pricing

Mathematics Subject Classification ID

Optimal stochastic control (93E20) General theory of stochastic processes (60G07) Derivative securities (option pricing, hedging, etc.) (91G20)

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