Indifference pricing and hedging in a multiple-priors model with trading constraints

DOI10.1007/s11425-014-4885-0zbMath1330.91190arXiv1503.08969OpenAlexW2025939678MaRDI QIDQ2515302

Huiwen Yan, Zhou Yang, Gechun Liang

Publication date: 31 July 2015

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.08969

zbMATH Keywords

variational inequalityambiguityAmerican optiontrading constraintsindifference pricingstochastic differential utility

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of optimal control and differential games (49N90) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) PDEs in connection with control and optimization (35Q93)

Related Items

Optimal expansion of business opportunity, Analysis of the optimal exercise boundary of American put options with delivery lags, Dynkin game of convertible bonds and their optimal strategy, Optimal Consumption and Portfolio Selection with Early Retirement Option, Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Pseudo linear pricing rule for utility indifference valuation
• A variational inequality arising from European option pricing with transaction costs
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Rational hedging and valuation of integrated risks under constant absolute risk aversion.
• An example of indifference prices under exponential preferences
• Utility maximization in incomplete markets
• Dynamic exponential utility indifference valuation
• OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS
• PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS
• A Variational Inequality Arising from European Installment Call Options Pricing
• On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
• Stochastic Differential Utility
• Backward Stochastic Differential Equations in Finance
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
• INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
• Backward stochastic differential equations and nonlinear pricing Parisian (Parasian) options
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Ambiguity, Risk, and Asset Returns in Continuous Time