Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (Q997416)
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scientific article
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| English | Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging |
scientific article |
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Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (English)
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6 August 2007
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backward stochastic differential equations
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random measures
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utility optimization
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dynamic indifference valuation
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incomplete markets
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hedging
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entropy
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0.8223398923873901
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0.8057155609130859
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0.7996178269386292
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0.7994368076324463
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0.7978181838989258
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