Exponential utility optimization, indifference pricing and hedging for a payment process (Q2880815)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Exponential utility optimization, indifference pricing and hedging for a payment process |
scientific article |
Statements
Exponential utility optimization, indifference pricing and hedging for a payment process (English)
0 references
17 April 2012
0 references
Black-Scholes model
0 references
random measure
0 references
backward stochastic differential equation
0 references
exponential utility
0 references
insurance and financial claims
0 references