Dynamic exponential utility indifference valuation
From MaRDI portal
Abstract: We study the dynamics of the exponential utility indifference value process C(B;alpha) for a contingent claim B in a semimartingale model with a general continuous filtration. We prove that C(B;alpha) is (the first component of) the unique solution of a backward stochastic differential equation with a quadratic generator and obtain BMO estimates for the components of this solution. This allows us to prove several new results about C_t(B;alpha). We obtain continuity in B and local Lipschitz-continuity in the risk aversion alpha, uniformly in t, and we extend earlier results on the asymptotic behavior as alphasearrow0 or alpha
earrowinfty to our general setting. Moreover, we also prove convergence of the corresponding hedging strategies.
Recommendations
- Exponential utility indifference value process in a general jump model based on random measures
- Utility indifference hedging with exponential additive processes
- Convergence results for the indifference value based on the stability of BSDEs
- scientific article; zbMATH DE number 2127977
- Robust exponential hedging and indifference valuation
Cites work
- A semimartingale Bellman equation and the variance-optimal martingale measure
- An example of indifference prices under exponential preferences
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Coherent multiperiod risk adjusted values and Bellman's principle
- Conditional and dynamic convex risk measures
- Continuous exponential martingales and BMO
- Convex measures of risk and trading constraints
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Exponential Hedging and Entropic Penalties
- scientific article; zbMATH DE number 1619454 (Why is no real title available?)
- scientific article; zbMATH DE number 2127977 (Why is no real title available?)
- scientific article; zbMATH DE number 3865127 (Why is no real title available?)
- scientific article; zbMATH DE number 4085365 (Why is no real title available?)
- scientific article; zbMATH DE number 3778410 (Why is no real title available?)
- scientific article; zbMATH DE number 1066313 (Why is no real title available?)
- Inf-convolution of risk measures and optimal risk transfer
- Introduction to a theory of value coherent with the no-arbitrage principle
- Minimization of Risk and Linear Quadratic Optimal Control Theory
- Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
- On the minimal entropy martingale measure.
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
- Pricing via utility maximization and entropy.
- Rational hedging and valuation of integrated risks under constant absolute risk aversion.
- Stochastic finance. An introduction in discrete time
- The minimal entropy martingale measure and the valuation problem in incomplete markets
- The minimal entropy martingale measures for geometric Lévy processes
- Utility maximization in incomplete markets
- Utility maximization under increasing risk aversion in one-period models
- Utility–indifference hedging and valuation via reaction–diffusion systems
Cited in
(87)- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
- Existence and uniqueness results for BSDE with jumps: the whole nine yards
- An example of indifference prices under exponential preferences
- Recursiveness of indifference prices and translation-invariant preferences
- Utility indifference hedging with exponential additive processes
- Sensitivity of optimal consumption streams
- Fair dynamic valuation of insurance liabilities via convex hedging
- The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
- Dynamic noisy rational expectations equilibrium with insider information: welfare and regulation
- Backward stochastic partial differential equations related to utility maximization and hedging
- Asymptotic power utility-based pricing and hedging
- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
- Managing inventory with proportional transaction costs
- Indifference pricing for CRRA utilities
- Convex pricing by a generalized entropy penalty
- Differentiability of quadratic BSDEs generated by continuous martingales
- Risk aversion asymptotics for power utility maximization
- Solvability of backward stochastic differential equations with quadratic growth
- Indifference pricing and hedging in a multiple-priors model with trading constraints
- Robust optimal risk sharing and risk premia in expanding pools
- On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
- Numerical simulation of quadratic BSDEs
- A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem
- Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver
- Multidimensional quadratic and subquadratic BSDEs with special structure
- Utility indifference valuation for non-smooth payoffs with an application to power derivatives
- Portfolio optimization under model uncertainty and BSDE games
- The exp-UIV for markets with partial information and complete information
- Indifference price with general semimartingales
- Utility-based valuation and hedging of basis risk with partial information
- Robust exponential hedging and indifference valuation
- Optimal exponential utility in a jump bond market
- Forward indifference valuation of American options
- BSDEs driven by multidimensional martingales and their applications to markets with funding costs
- Representation of BSDE-based dynamic risk measures and dynamic capital allocations
- Option pricing and hedging with small transaction costs
- Partially informed investors: hedging in an incomplete market with default
- Exponential utility indifference valuation in two Brownian settings with stochastic correlation
- MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS
- Variance-Optimal Hedging in General Affine Stochastic Volatility Models
- On agent's agreement and partial-equilibrium pricing in incomplete markets
- OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
- The Dynamicq-Valuation of a Contingent Claim in a Continuous Market Model
- Pricing jump risk with utility indifference
- UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES
- The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps
- Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
- Utility-based hedging and pricing with a nontraded asset for jump processes
- BSDEs in utility maximization with BMO market price of risk
- Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition
- Nash equilibria for game contingent claims with utility-based hedging
- Pseudo linear pricing rule for utility indifference valuation
- Approximate indifference pricing in exponential Lévy models
- Differentiability of BSVIEs and dynamic capital allocations
- New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations
- Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities
- Bond indifference prices
- A pricing defaultable claim model based on exponential utility indifference value process in an incomplete market
- Solution of the HJB equations involved in utility-based pricing
- On the monotone stability approach to BSDEs with jumps: extensions, concrete criteria and examples
- Exponential utility indifference value process in a general jump model based on random measures
- Explicit representations for utility indifference prices
- Optimal investment under relative performance concerns
- Robust portfolio choice and indifference valuation
- A Fourier cosine method for an efficient computation of solutions to BSDEs
- Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
- Pricing for large positions in contingent claims
- AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION
- The \(S\)-related dynamic convex valuation in the Brownian motion setting
- PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH
- Recursive backward scheme for the solution of a BSDE with a non Lipschitz generator
- Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule
- Convergence results for the indifference value based on the stability of BSDEs
- Pricing Principle via Tsallis Relative Entropy in Incomplete Markets
- On the uniqueness result for the BSDE with deterministic coefficient
- Optimal VIX-linked structure for the target benefit pension plan
- Utility indifference valuation for jump risky assets
- Hedging and utility valuation of a defaultable claim driven by Hawkes processes
- Risk measure pricing and hedging in incomplete markets
- Partial equilibria with convex capital requirements: existence, uniqueness and stability
- Exponential utility maximization under model uncertainty for unbounded endowments
- Convexity bounds for BSDE solutions, with applications to indifference valuation
- Star-shaped and dynamic return risk measures via BSDEs
- Optimal Management of the Collective Defined Contribution Pension Plan With Long-Term Care Insurance
- Valuation of power plants by utility indifference and numerical computation
- Discretisation of FBSDEs driven by càdlàg martingales
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
This page was built for publication: Dynamic exponential utility indifference valuation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2572403)
