A note on utility indifference pricing
DOI10.1142/S0219024916500370zbMATH Open1396.91730OpenAlexW2395806415MaRDI QIDQ2828052FDOQ2828052
Authors: Johannes Gerer, Gregor Dorfleitner 
Publication date: 24 October 2016
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024916500370
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hedgingutility indifference pricingderivatives pricingutility-based pricingmarginal pricingcontinuous time financeshadow pricing
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
Cites Work
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Cited In (11)
- A note on utility-based pricing
- OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS
- On dynamic programming equations for utility indifference pricing under delta constraints
- Indifference pricing under SAHARA utility
- Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact
- Indifference pricing of a power utility function under a discrete-time model
- A numerical study of the utility-indifference approach for pricing American options
- A note on utility based pricing and asymptotic risk diversification
- Convergence of utility indifference prices to the superreplication price: the whole real line case
- Utility based pricing and hedging of jump diffusion processes with a view to applications
- An example of indifference prices under exponential preferences
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