Bond indifference prices

DOI10.1080/14697688.2020.1865560MaRDI QIDQ5014252zbMATHOpenAlexFDO

Authors Matthew Lorig, Bin Zou

Publication date 1 December 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2020.1865560

zbMATH Keywords

pricingbondstochastic interestrisk neutral

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
• UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES
• Bond Market Structure in the Presence of Marked Point Processes
• Risk indifference pricing of functional claims of the yield surface in the presence of partial information
• Indifference prices and implied volatilities

Cites work

• scientific article; zbMATH DE number 5529013 (Why is no real title available?)
• scientific article; zbMATH DE number 1795856 (Why is no real title available?)
• scientific article; zbMATH DE number 5497555 (Why is no real title available?)
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• Indifference prices and implied volatilities
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• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
• Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
• Pricing jump risk with utility indifference
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• Term-structure models. A graduate course
• Utility valuation of multi-name credit derivatives and application to CDOs
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
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Cited in

(3)

• Risk indifference pricing of functional claims of the yield surface in the presence of partial information
• The Bond Market'sq^*
• PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE

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