Exponential utility optimization, indifference pricing and hedging for a payment process

DOI10.4064/AM39-2-7MaRDI QIDQ2880815zbMATH OpenOpenAlexFDO

Authors Łukasz Delong

Publication date 17 April 2012

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/2541adb8641f4ec90635c905e5b9551287d69635

zbMATH Keywords

backward stochastic differential equationBlack-Scholes modelexponential utilityinsurance and financial claimsrandom measure

Mathematics Subject Classification ID

Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stochastic control (93E20)

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Cited in

(2)

• No-good-deal, local mean-variance and ambiguity risk pricing and hedging for an insurance payment process
• scientific article; zbMATH DE number 1878042 (Why is no real title available?)

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