An example of indifference prices under exponential preferences
From MaRDI portal
Recommendations
- scientific article; zbMATH DE number 2127977
- Explicit representations for utility indifference prices
- Nonhomothetic preferences and exact price index numbers
- AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION
- Indifference pricing with uncertainty averse preferences
- Recursiveness of indifference prices and translation-invariant preferences
- Dynamic exponential utility indifference valuation
- A note on utility indifference pricing
- Market price mechanisms and Stackelberg general equilibria: an example
- Approximate indifference pricing in exponential Lévy models
Cited in
(only showing first 100 items - show all)- Equal risk pricing under convex trading constraints
- OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
- Modeling non-monotone risk aversion using SAHARA utility functions
- Guarantee valuation in notional defined contribution pension systems
- Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itō SDE systems
- PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER
- Dynamic valuation of options on non-traded assets and trading strategies
- Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities
- Pricing and hedging of derivatives based on nontradable underlyings
- Corrections to the prices of derivatives due to market incompleteness
- Recursiveness of indifference prices and translation-invariant preferences
- Utility indifference valuation for jump risky assets
- Dynamic exponential utility indifference valuation
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Optimal dividend and reinsurance in the presence of two reinsurers
- Mixture of consistent stochastic utilities and \textit{a priori} randomness
- Explicit representations for utility indifference prices
- Principle of equivalent utility and universal variable life insurance pricing
- Stochastic control methods: Hedging in a market described by pure jump processes
- Utility-based hedging and pricing with a nontraded asset for jump processes
- A valuation algorithm for indifference prices in incomplete markets
- Time-consistent actuarial valuations
- EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
- The risk transfer of non-tradable risks under model uncertainty
- Characterisation of optimal dual measures via distortion
- Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
- Indifference valuation in incomplete binomial models
- Optimal static-dynamic hedges for exotic options under convex risk measures
- Robust utility maximisation with intractable claims
- Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
- Utility-based valuation and hedging of basis risk with partial information
- A stochastic volatility model and optimal portfolio selection
- Optimal hedging with basis risk under mean-variance criterion
- Accounting for risk aversion in derivatives purchase timing
- AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION
- Indifference Pricing and Hedging for Volatility Derivatives
- A note on utility-based pricing
- Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
- Exponential utility maximization under partial information
- The exp-UIV for markets with partial information and complete information
- Hedging with residual risk: a BSDE approach
- Risk measure pricing and hedging in incomplete markets
- Market Consistent Pricing of Insurance Products
- A transformation method for solving the Hamilton-Jacobi-Bellman equation for a constrained dynamic stochastic optimal allocation problem
- Option pricing in regime-switching frameworks with the extended Girsanov principle
- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
- Interest rates risk-premium and shape of the yield curve
- Exact solutions and approximations for optimal investment strategies and indifference prices
- Nonlinear Parabolic Equations Arising in Mathematical Finance
- On the parabolic equation for portfolio problems
- A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
- Optimal Cross Hedging of Insurance Derivatives
- Vector majorization and a robust option replacement trading strategy
- Pricing and hedging in incomplete markets with model uncertainty
- Indifference pricing of insurance-linked securities in a multi-period model
- Indifference prices and implied volatilities
- On dynamic programming equations for utility indifference pricing under delta constraints
- Indifference valuation of mortgage-backed securities in the presence of prepayment risk
- Optimal dividend problem with a nonlinear regular-singular stochastic control
- Exponential utility indifference valuation in two Brownian settings with stochastic correlation
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk
- BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data
- Markets as a counterparty: an introduction to conic finance
- The Dynamicq-Valuation of a Contingent Claim in a Continuous Market Model
- Risk indifference pricing in jump diffusion markets
- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
- On agent's agreement and partial-equilibrium pricing in incomplete markets
- Risk measure pricing and hedging in the presence of transaction costs
- Pseudo linear pricing rule for utility indifference valuation
- A semigroup approach to generalized Black-Scholes type equations in incomplete markets
- The structure of optimal consumption streams in general incomplete markets
- Bond indifference prices
- Time-consistent pension policy with minimum guarantee and sustainability constraint
- Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle
- Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation
- Pricing jump risk with utility indifference
- Fair dynamic valuation of insurance liabilities via convex hedging
- UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES
- Expected vs. real transaction costs in European option pricing
- Overview of utility-based valuation
- Optimal trading policies for wind energy producer
- Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle
- Mean-variance hedging with basis risk
- Pricing for large positions in contingent claims
- Indifference pricing and hedging in a multiple-priors model with trading constraints
- Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
- Indifference pricing for CRRA utilities
- Pricing illiquid options with \(N+1\) liquid proxies using mixed dynamic-static hedging
- Indifference pricing under SAHARA utility
- Optimal investment with derivatives and pricing in an incomplete market
- Partial hedging and cash requirements in discrete time
- scientific article; zbMATH DE number 2133109 (Why is no real title available?)
- Valuation of general contingent claims with short selling bans: an equal-risk pricing approach
- Forward exponential indifference valuation in an incomplete binomial model
- Hedging of contingent claims written on non traded assets under Markov-modulated models
- The \(S\)-related dynamic convex valuation in the Brownian motion setting
- The value of being lucky: option backdating and nondiversifiable risk
- The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps
- Expected utility maximization for exponential Lévy models with option and information processes
- Forward indifference valuation for dynamically incoming projects
This page was built for publication: An example of indifference prices under exponential preferences
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1887273)
