Exponential utility maximization and indifference valuation with unbounded payoffs
From MaRDI portal
Publication:6288526
arXiv1707.00199MaRDI QIDQ6288526FDOQ6288526
Authors: Ying Hu, Gechun Liang, Shanjian Tang 
Publication date: 1 July 2017
Abstract: We solve an exponential utility maximization problem with unbounded payoffs and portfolio constraints, via the theory of quadratic backward stochastic differential equations with unbounded terminal data. This generalizes the previous work of Hu et al. (2005) [Ann. Appl. Probab., 15, 1691--1712] from the bounded to an unbounded framework. Furthermore, we study utility indifference valuation of financial derivatives with unbounded payoffs, and derive a novel convex dual representation of the prices. In particular, we obtain new asymptotic behavior as the risk aversion parameter tends to either zero or infinity.
Credit risk (91G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
This page was built for publication: Exponential utility maximization and indifference valuation with unbounded payoffs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6288526)
