Bond indifference prices
From MaRDI portal
Recommendations
- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
- UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES
- Bond Market Structure in the Presence of Marked Point Processes
- Risk indifference pricing of functional claims of the yield surface in the presence of partial information
- Indifference prices and implied volatilities
Cites work
- A solution approach to valuation with unhedgeable risks
- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
- An equilibrium characterization of the term structure
- An example of indifference prices under exponential preferences
- Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities
- Dynamic exponential utility indifference valuation
- Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
- European Option Pricing with Transaction Costs
- Forward indifference valuation of American options
- From insurance risk to credit portfolio management: a new approach to pricing CDOs
- scientific article; zbMATH DE number 5529013 (Why is no real title available?)
- scientific article; zbMATH DE number 1795856 (Why is no real title available?)
- scientific article; zbMATH DE number 5497555 (Why is no real title available?)
- INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
- Indifference prices and implied volatilities
- Indifference Pricing and Hedging for Volatility Derivatives
- Indifference pricing of defaultable claims
- Indifference pricing of insurance-linked securities in a multi-period model
- On the pricing of contingent claims under constraints
- Optimum consumption and portfolio rules in a continuous-time model
- Option pricing and hedging with small transaction costs
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
- Pricing jump risk with utility indifference
- Pricing via utility maximization and entropy.
- Real options with constant relative risk aversion
- Term-structure models. A graduate course
- Utility valuation of multi-name credit derivatives and application to CDOs
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
- Valuing the option to invest in an incomplete market
Cited in
(3)
This page was built for publication: Bond indifference prices
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5014252)
