Exponential utility indifference valuation in two Brownian settings with stochastic correlation
DOI10.1239/AAP/1214950210zbMATH Open1154.91024OpenAlexW2122251386MaRDI QIDQ3516396FDOQ3516396
Martin Schweizer, Christoph Frei
Publication date: 5 August 2008
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1214950210
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Cited In (16)
- Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment
- 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
- PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS
- Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting
- 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
- 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
- Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment
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