A note on utility indifference pricing
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Publication:2828052
DOI10.1142/S0219024916500370zbMATH Open1396.91730OpenAlexW2395806415MaRDI QIDQ2828052FDOQ2828052
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Cites work
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- scientific article; zbMATH DE number 515978 (Why is no real title available?)
- scientific article; zbMATH DE number 852302 (Why is no real title available?)
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- Exponential Hedging and Entropic Penalties
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- Hedging in incomplete markets with HARA utility
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- ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
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- OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
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- Pricing, hedging, and designing derivatives with risk measures
- Risk aversion and block exercise of executive stock options
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- Utility–indifference hedging and valuation via reaction–diffusion systems
- Valuing the option to invest in an incomplete market
Cited in
(11)- An example of indifference prices under exponential preferences
- Indifference pricing of a power utility function under a discrete-time model
- Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
- Convergence of utility indifference prices to the superreplication price: the whole real line case
- Indifference pricing under SAHARA utility
- A note on utility-based pricing
- A numerical study of the utility-indifference approach for pricing American options
- Utility based pricing and hedging of jump diffusion processes with a view to applications
- A note on utility based pricing and asymptotic risk diversification
- Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact
- On dynamic programming equations for utility indifference pricing under delta constraints
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