An example of indifference prices under exponential preferences

DOI10.1007/s00780-003-0112-5zbMath1062.93048OpenAlexW2044381497MaRDI QIDQ1887273

Thaleia Zariphopoulou, Marek Musiela

Publication date: 24 November 2004

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

Full work available at URL: https://doi.org/10.1007/s00780-003-0112-5

zbMATH Keywords

hedging risk aversion non-traded assets minimum entropy Incomplete markets indifference prices nonlinear asset pricing pricing measure

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Signaling and communication in game theory (91A28) Positional games (pursuit and evasion, etc.) (91A24)

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