Explicit Representations for Utility Indifference Prices (Q5165000)
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scientific article; zbMATH DE number 7426562
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Explicit Representations for Utility Indifference Prices |
scientific article; zbMATH DE number 7426562 |
Statements
Explicit Representations for Utility Indifference Prices (English)
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15 November 2021
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utility indifference price
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contingent claim
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wealth process
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risk aversion
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information premium
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stochastic control problem
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stochastic maximum principle
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enlarged filtration
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