Utility indifference valuation for non-smooth payoffs with an application to power derivatives (Q282083)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Utility indifference valuation for non-smooth payoffs with an application to power derivatives |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Utility indifference valuation for non-smooth payoffs with an application to power derivatives |
scientific article |
Statements
Utility indifference valuation for non-smooth payoffs with an application to power derivatives (English)
0 references
12 May 2016
0 references
utility indifference pricing
0 references
backward stochastic differential equations
0 references
optimal investment
0 references
viscosity solutions
0 references
electricity markets
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8174569010734558
0 references
0.8046589493751526
0 references
0.8027037978172302
0 references
0.799103319644928
0 references
0.796008288860321
0 references
