A valuation algorithm for indifference prices in incomplete markets

DOI10.1007/S00780-003-0117-0zbMATH Open1097.91046OpenAlexW1972459237MaRDI QIDQ1776009FDOQ1776009

Authors: M. Musiela, Thaleia Zariphopoulou 

Publication date: 20 May 2005

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-003-0117-0

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zbMATH Keywords

incomplete marketsindifference pricesnonlinear pricing algorithm

Mathematics Subject Classification ID

Portfolio theory (91G10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Cited In (34)

• Utility maximization in markets with bid-ask spreads
• On dynamic programming equations for utility indifference pricing under delta constraints
• Time-consistent and market-consistent actuarial valuation of the participating pension contract
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• Indifference pricing under SAHARA utility
• Valuing an investment project using no-arbitrage and the alpha-maxmin criteria: from Knightian uncertainty to risk
• Indifference pricing of insurance-linked securities in a multi-period model
• Modeling non-monotone risk aversion using SAHARA utility functions
• Robust utility maximisation with intractable claims
• Forward indifference valuation for dynamically incoming projects
• Valuation of energy storage: an optimal switching approach
• Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
• Market Consistent Pricing of Insurance Products
• Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
• Markets as a counterparty: an introduction to conic finance
• FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY
• Dynamic conic hedging for competitiveness
• Recursiveness of indifference prices and translation-invariant preferences
• Indifference valuation in incomplete binomial models
• Indifference pricing for CRRA utilities
• Valuation of general contingent claims with short selling bans: an equal-risk pricing approach
• Forward exponential indifference valuation in an incomplete binomial model
• Risk measures via \(g\)-expectations
• Pricing jump risk with utility indifference
• A market- and time-consistent extension for the EIOPA risk-margin
• Effect of volatility clustering on indifference pricing of options by convex risk measures
• The structure of optimal consumption streams in general incomplete markets
• Risk measure pricing and hedging in incomplete markets
• Indifference pricing with uncertainty averse preferences
• AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION
• Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
• Explicit solutions of some utility maximization problems in incomplete markets
• Risk measure pricing and hedging in the presence of transaction costs
• Solution of the HJB equations involved in utility-based pricing

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