Indifference pricing of a power utility function under a discrete-time model

MaRDI QIDQ4901054zbMATH OpenFDO

Authors Limin Liu, Lei Geng, Xiaopan Wang

Publication date 24 January 2013

zbMATH Keywords

conditional expectationindifference pricingmartingale measurepower utility function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(3)

• Indifference pricing under SAHARA utility
• On dynamic programming equations for utility indifference pricing under delta constraints
• Shadow price in the power utility case

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