Exponential utility indifference valuation in two Brownian settings with stochastic correlation
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Cites work
- scientific article; zbMATH DE number 5529013 (Why is no real title available?)
- scientific article; zbMATH DE number 17495 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
- A solution approach to valuation with unhedgeable risks
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- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- Characterisation of optimal dual measures via distortion
- Continuous exponential martingales and BMO
- Decreasing sequences of \(\sigma\)-fields and a measure change for Brownian motion. I
- Dynamic exponential utility indifference valuation
- Explicit solutions of some utility maximization problems in incomplete markets
- Exponential Hedging and Entropic Penalties
- Indifference Pricing and Hedging for Volatility Derivatives
- Optimal investment in incomplete markets when wealth may become negative.
- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
- Real options with constant relative risk aversion
- 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)- Utility indifference valuation for non-smooth payoffs with an application to power derivatives
- Optimal acquisition of a partially hedgeable house
- Stability of utility maximization in nonequivalent markets
- Portfolios of American options under general preferences: results and counterexamples
- Convergence results for the indifference value based on the stability of BSDEs
- Cross hedging with stochastic correlation
- Optimal portfolio under fast mean-reverting fractional stochastic environment
- Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
- Pseudo linear pricing rule for utility indifference valuation
- Convexity bounds for BSDE solutions, with applications to indifference valuation
- Optimal investment, derivative demand, and arbitrage under price impact
- Pricing for large positions in contingent claims
- Power utility maximization problems under partial information and information sufficiency in a Brownian setting
- Exponential utility maximization under partial information
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk
- Exponential utility indifference value process in a general jump model based on random measures
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