Utility indifference pricing and hedging to stochastic volatility model
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Publication:3501480
zbMATH Open1150.91403MaRDI QIDQ3501480FDOQ3501480
Authors: Haifeng Yan, Limin Liu, Jianqi Yang 
Publication date: 3 June 2008
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- Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
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- Utility indifference pricing and hedging of Stein-Stein model
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- Indifference Pricing and Hedging for Volatility Derivatives
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- Indifference pricing of a power utility function under a discrete-time model
- Explicit representations for utility indifference prices
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- Risk-based indifference pricing under a stochastic volatility model
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- Neutral and indifference pricing with stochastic correlation and volatility
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- Solution of the HJB equations involved in utility-based pricing
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