Utility-based indifference pricing in regime-switching models
DOI10.1016/J.NA.2011.06.009zbMATH Open1237.91220OpenAlexW2028540613MaRDI QIDQ640157FDOQ640157
Authors: 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
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linear programmingdynamic programminghedgingexponential utilitycontingent claim valuationMarkov regime-switching Hamilton-Jacobi-Bellman (HJB) equationsproduct price kernelregime-switching riskutility indifference
Derivative securities (option pricing, hedging, etc.) (91G20) Linear programming (90C05) Portfolio theory (91G10) Credit risk (91G40) Optimal stochastic control (93E20)
Cites Work
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Cited In (7)
- Disappointment aversion premium principle
- Fitted finite volume method for indifference pricing in an exponential utility regime-switching model
- Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact
- Attainable contingent claims in a Markovian regime-switching market
- On pricing and hedging options in regime-switching models with feedback effect
- On pricing barrier control in a regime-switching regulated market
- Default Times in a Continuous-Time Markovian Regime Switching Model
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