A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
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Publication:2796752
DOI10.1137/15M1040293zbMath1414.91375arXiv1111.3856MaRDI QIDQ2796752
Publication date: 29 March 2016
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1111.3856
splitting method; utility indifference pricing; counterparty risk; monotone scheme; reaction-diffusion PDE with quadratic gradients; shaking the coefficients technique
91G20: Derivative securities (option pricing, hedging, etc.)
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences