Indifference pricing under SAHARA utility

DOI10.1016/J.CAM.2020.113288MaRDI QIDQ2223856zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 3 February 2021

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2020.113288

zbMATH Keywords

finite difference schemeincomplete marketsindifference pricingSAHARA utilityutility maximization

Mathematics Subject Classification ID

Dynamic programming (90C39) Utility theory (91B16) Actuarial mathematics (91G05) Financial markets (91G15) Numerical methods (including Monte Carlo methods) (91G60)

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• Modeling non-monotone risk aversion using SAHARA utility functions
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• Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities
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• Indifference pricing of a power utility function under a discrete-time model

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Cited in

(5)

• Zero-level pricing and the HARA utility functions
• A note on utility indifference pricing
• Indifference pricing of a power utility function under a discrete-time model
• Risk management under weighted limited expected loss
• Indifference pricing of mortality-linked securities using backward stochastic differential equations

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