Forward exponential indifference valuation in an incomplete binomial model
From MaRDI portal
Publication:4976504
DOI10.1007/978-3-319-45875-5_13zbMATH Open1367.91179OpenAlexW2559121369MaRDI QIDQ4976504FDOQ4976504
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
Recommendations
- Indifference valuation in incomplete binomial models
- Exponential utility of indifference prices and hedging strategies with transaction costs
- A valuation algorithm for indifference prices in incomplete markets
- Forward exponential performances: pricing and optimal risk sharing
- An example of indifference prices under exponential preferences
Cites Work
- Pricing via utility maximization and entropy.
- Rational hedging and valuation of integrated risks under constant absolute risk aversion.
- Title not available (Why is that?)
- Exponential Hedging and Entropic Penalties
- The minimal entropy martingale measure and the valuation problem in incomplete markets
- Valuing Risky Projects: Option Pricing Theory and Decision Analysis
- An example of indifference prices under exponential preferences
- Stochastic Partial Differential Equations and Portfolio Choice
- Portfolio choice under dynamic investment performance criteria
- Valuing oil properties: Integrating option pricing and decision analysis approaches
- Portfolio choice under space-time monotone performance criteria
- Indifference valuation in incomplete binomial models
- Title not available (Why is that?)
- Title not available (Why is that?)
- A dual characterization of self-generation and exponential forward performances
- Maturity-Independent Risk Measures
- Optimal Asset Allocation under Forward Exponential Performance Criteria
- Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
- Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
- Indifference pricing for CRRA utilities
- Forward indifference valuation of American options
Cited In (6)
- Optimal investment in defined contribution pension schemes with forward utility preferences
- Forward indifference valuation for dynamically incoming projects
- Indifference valuation in incomplete binomial models
- Forward indifference valuation of American options
- Forward exponential performances: pricing and optimal risk sharing
- A valuation algorithm for indifference prices in incomplete markets
This page was built for publication: Forward exponential indifference valuation in an incomplete binomial model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4976504)
