Utility-based indifference pricing in regime-switching models

DOI10.1016/j.na.2011.06.009zbMath1237.91220MaRDI QIDQ640157

Robert J. Elliott, Tak Kuen Siu

Publication date: 17 October 2011

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2011.06.009

zbMATH Keywords

linear programming; dynamic programming; hedging; exponential utility; product price kernel; contingent claim valuation; Markov regime-switching Hamilton-Jacobi-Bellman (HJB) equations; regime-switching risk; utility indifference

Mathematics Subject Classification ID

90C05: Linear programming

93E20: Optimal stochastic control

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

91G10: Portfolio theory

91G40: Credit risk

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DISAPPOINTMENT AVERSION PREMIUM PRINCIPLE, ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET, Default Times in a Continuous-Time Markovian Regime Switching Model

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