Utility indifference valuation for non-smooth payoffs with an application to power derivatives (Q282083)
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scientific article; zbMATH DE number 6579497
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| English | Utility indifference valuation for non-smooth payoffs with an application to power derivatives |
scientific article; zbMATH DE number 6579497 |
Statements
Utility indifference valuation for non-smooth payoffs with an application to power derivatives (English)
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12 May 2016
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utility indifference pricing
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backward stochastic differential equations
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optimal investment
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viscosity solutions
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electricity markets
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0.8174569010734558
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0.8046589493751526
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0.8027037978172302
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0.799103319644928
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0.796008288860321
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