Utility-based indifference pricing in regime-switching models

DOI10.1016/j.na.2011.06.009zbMath1237.91220OpenAlexW2028540613MaRDI 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 programmingdynamic programminghedgingexponential utilityproduct price kernelcontingent claim valuationMarkov regime-switching Hamilton-Jacobi-Bellman (HJB) equationsregime-switching riskutility indifference

Mathematics Subject Classification ID

Linear programming (90C05) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Related Items (3)

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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