Utility indifference valuation for non-smooth payoffs with an application to power derivatives
DOI10.1007/s00245-015-9306-4zbMath1342.60102arXiv1307.4591OpenAlexW1749637740MaRDI QIDQ282083
Giuseppe Benedetti, Luciano Campi
Publication date: 12 May 2016
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.4591
backward stochastic differential equationsviscosity solutionselectricity marketsoptimal investmentutility indifference pricing
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Duality theory (optimization) (49N15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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