Explicit representations for utility indifference prices
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Recommendations
- Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities
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- Utility indifference hedging with exponential additive processes
- Asymptotic utility-based pricing and hedging for exponential utility
- Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework
Cites work
- A Maximum Principle for Stochastic Control with Partial Information
- An example of indifference prices under exponential preferences
- Applied stochastic control of jump diffusions
- Applied stochastic control of jump diffusions
- Asymptotic utility-based pricing and hedging for exponential utility
- Dynamic exponential utility indifference valuation
- Exponential Hedging and Entropic Penalties
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 5894935 (Why is no real title available?)
- scientific article; zbMATH DE number 2127977 (Why is no real title available?)
- Indifference price with general semimartingales
- Indifference Pricing and Hedging for Volatility Derivatives
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- Optimal equivalent probability measures under enlarged filtrations
- Optimal investment with random endowments in incomplete markets.
- PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
- Pricing via utility maximization and entropy.
- Rational hedging and valuation of integrated risks under constant absolute risk aversion.
- Time reversal on Lévy processes
- Utility maximization in incomplete markets with random endowment
- Utility–indifference hedging and valuation via reaction–diffusion systems
Cited in
(6)- A maximum principle approach to risk indifference pricing with partial information
- An example of indifference prices under exponential preferences
- Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities
- Short communication: A note on utility indifference pricing with delayed information
- On dynamic programming equations for utility indifference pricing under delta constraints
- Convergence of utility indifference prices to the superreplication price: the whole real line case
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