Utility indifference valuation for jump risky assets
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Cites work
- scientific article; zbMATH DE number 3951715 (Why is no real title available?)
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 1066324 (Why is no real title available?)
- scientific article; zbMATH DE number 2144818 (Why is no real title available?)
- A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
- A solution approach to valuation with unhedgeable risks
- An example of indifference prices under exponential preferences
- Backward Stochastic Differential Equations in Finance
- Backward stochastic partial differential equations related to utility maximization and hedging
- Bond Market Structure in the Presence of Marked Point Processes
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- Dynamic exponential utility indifference valuation
- Existence of Markov Controls and Characterization of Optimal Markov Controls
- Exponential Hedging and Entropic Penalties
- Exponential utility maximization under partial information
- OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
- On the Existence of Minimax Martingale Measures
- On the minimal entropy martingale measure.
- On the rate of convergence of discrete-time contingent claims.
- Optimum consumption and portfolio rules in a continuous-time model
- PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH
- Pricing and hedging of derivatives based on nontradable underlyings
- Pricing via utility maximization and entropy.
- Risk minimization with incomplete information in a model for high-frequency data
- Risk-neutral measures and pricing for a pure jump price process
- Utility maximization in a jump market model
- Utility maximization in incomplete markets
- Utility-based hedging and pricing with a nontraded asset for jump processes
Cited in
(17)- A generalized Itō-Ventzell formula to derive forward utility models in a jump market
- Exponential utility indifference value process in a general jump model based on random measures
- Approximate hedging of options under jump-diffusion processes
- Optimal exponential utility in a jump bond market
- Pricing jump risk with utility indifference
- Utility-based hedging and pricing with a nontraded asset for jump processes
- BSDEs, càdlàg martingale problems, and orthogonalization under basis risk
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- A valuation algorithm for indifference prices in incomplete markets
- Robust portfolio choice and indifference valuation
- The exp-UIV for markets with partial information and complete information
- Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator
- Utility based pricing and hedging of jump diffusion processes with a view to applications
- Optimal investment problems with marked point processes
- Indifference pricing of pure endowments via BSDEs under partial information
- UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
- A BSDE-based approach for the optimal reinsurance problem under partial information
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