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

zbMATH Keywords

backward stochastic differential equationsviscosity solutionselectricity marketsoptimal investmentutility indifference pricing

Mathematics Subject Classification ID

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)

Related Items (3)

Utility indifference pricing and hedging for structured contracts in energy markets ⋮ Indifference pricing of insurance-linked securities in a multi-period model ⋮ On the parabolic equation for portfolio problems

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