scientific article; zbMATH DE number 5666915

MaRDI QIDQ3400710zbMATH OpenFDO

Authors Christoph Frei, Martin Schweizer

Publication date 5 February 2010

zbMATH Keywords

BMO-martingalesBSDEexponential utilityfundamental entropyindifference valuationmartingale measureminimal entropyrepresentation (FER)

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20)

Cited in

(9)

• Cross hedging with stochastic correlation
• Differentiability of quadratic BSDEs generated by continuous martingales
• Risk aversion asymptotics for power utility maximization
• A multidimensional exponential utility indifference pricing model with applications to counterparty risk
• A note on utility indifference pricing
• Pseudo linear pricing rule for utility indifference valuation
• Exponential utility indifference value process in a general jump model based on random measures
• Optimal investment, derivative demand, and arbitrage under price impact
• Convexity bounds for BSDE solutions, with applications to indifference valuation

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