Exponential utility optimization, indifference pricing and hedging for a payment process

DOI10.4064/AM39-2-7zbMath1236.91124OpenAlexW1965689407MaRDI QIDQ2880815

Łukasz Delong

Publication date: 17 April 2012

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2541adb8641f4ec90635c905e5b9551287d69635

zbMATH Keywords

Black-Scholes modelbackward stochastic differential equationrandom measureexponential utilityinsurance and financial claims

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

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