Forward exponential indifference valuation in an incomplete binomial model

DOI10.1007/978-3-319-45875-5_13MaRDI QIDQ4976504zbMATH OpenOpenAlexFDO

Authors

Publication date 31 July 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-45875-5_13

zbMATH Keywords

indifference pricingforward performance processesreverse relative entropy

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 5529012 (Why is no real title available?)
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• scientific article; zbMATH DE number 5499205 (Why is no real title available?)
• A dual characterization of self-generation and exponential forward performances
• An example of indifference prices under exponential preferences
• Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
• Exponential Hedging and Entropic Penalties
• Forward indifference valuation of American options
• Indifference pricing for CRRA utilities
• Indifference valuation in incomplete binomial models
• Maturity-Independent Risk Measures
• Optimal Asset Allocation under Forward Exponential Performance Criteria
• Portfolio choice under dynamic investment performance criteria
• Portfolio choice under space-time monotone performance criteria
• Pricing via utility maximization and entropy.
• Rational hedging and valuation of integrated risks under constant absolute risk aversion.
• Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
• Stochastic Partial Differential Equations and Portfolio Choice
• The minimal entropy martingale measure and the valuation problem in incomplete markets
• Valuing Risky Projects: Option Pricing Theory and Decision Analysis
• Valuing oil properties: Integrating option pricing and decision analysis approaches

Cited in

(6)

• Optimal investment in defined contribution pension schemes with forward utility preferences
• A valuation algorithm for indifference prices in incomplete markets
• Indifference valuation in incomplete binomial models
• Forward exponential performances: pricing and optimal risk sharing
• Forward indifference valuation of American options
• Forward indifference valuation for dynamically incoming projects

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