AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION
From MaRDI portal
Publication:5297234
DOI10.1142/S0219024907004299zbMath1136.91412MaRDI QIDQ5297234
Publication date: 18 July 2007
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Cites Work
- Unnamed Item
- On Fefferman and Burkholder-Davis-Gundy inequalities for \({\mathcal E}\)-martingales
- A valuation algorithm for indifference prices in incomplete markets
- An example of indifference prices under exponential preferences
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Utility–indifference hedging and valuation via reaction–diffusion systems
- STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
- Introduction to a theory of value coherent with the no-arbitrage principle