Exponential utility indifference valuation in two Brownian settings with stochastic correlation
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Cites work
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- Exponential Hedging and Entropic Penalties
- Indifference Pricing and Hedging for Volatility Derivatives
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- The impact of the market portfolio on the valuation, incentives and optimality of executive stock options
- Utility maximization in incomplete markets
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
Cited in
(16)- Exponential utility indifference value process in a general jump model based on random measures
- Convergence results for the indifference value based on the stability of BSDEs
- Stability of utility maximization in nonequivalent markets
- Utility indifference valuation for non-smooth payoffs with an application to power derivatives
- Optimal portfolio under fast mean-reverting fractional stochastic environment
- Optimal acquisition of a partially hedgeable house
- Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
- Pricing for large positions in contingent claims
- Exponential utility maximization under partial information
- Cross hedging with stochastic correlation
- Power utility maximization problems under partial information and information sufficiency in a Brownian setting
- Optimal investment, derivative demand, and arbitrage under price impact
- Convexity bounds for BSDE solutions, with applications to indifference valuation
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk
- Pseudo linear pricing rule for utility indifference valuation
- Portfolios of American options under general preferences: results and counterexamples
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