Indifference pricing for CRRA utilities

DOI10.1007/S11579-013-0104-YzbMATH Open1275.91055OpenAlexW2059283495MaRDI QIDQ2392015FDOQ2392015

Mario V. Wüthrich, E. Trubowitz, Semyon Malamud

Publication date: 6 August 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/73080

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zbMATH Keywords

incomplete marketrisk aversionutility maximizationutility indifference pricingindifference pricingarbitrage free markethedging pricewealth processlarge risk

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

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Cited In (5)

• Indifference pricing of insurance-linked securities in a multi-period model
• Forward Exponential Indifference Valuation in an Incomplete Binomial Model
• On an aggregate state-price deflator in a multi-period market model
• Event risk, contingent claims and the temporal resolution of uncertainty
• Best-estimate claims reserves in incomplete markets

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