Utility indifference valuation for jump risky assets

DOI10.1007/s10203-010-0107-6zbMath1273.91192MaRDI QIDQ651335

Claudia Ceci, Anna Gerardi

Publication date: 13 December 2011

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-010-0107-6

zbMATH Keywords

backward stochastic differential equations; jump processes; utility maximization; minimal entropy measure; dynamic indifference valuation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

91G80: Financial applications of other theories

91G10: Portfolio theory

Related Items

UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS, APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES, Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator, BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk

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