Utility indifference valuation for jump risky assets
DOI10.1007/S10203-010-0107-6zbMATH Open1273.91192OpenAlexW1986303182MaRDI QIDQ651335FDOQ651335
Authors: 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
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backward stochastic differential equationsutility maximizationjump processesminimal entropy measuredynamic indifference valuation
Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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Cited In (17)
- Optimal exponential utility in a jump bond market
- Approximate hedging of options under jump-diffusion processes
- Indifference pricing of pure endowments via BSDEs under partial information
- Utility-based hedging and pricing with a nontraded asset for jump processes
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- BSDEs, càdlàg martingale problems, and orthogonalization under basis risk
- Robust portfolio choice and indifference valuation
- Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator
- A generalized Itō-Ventzell formula to derive forward utility models in a jump market
- A BSDE-based approach for the optimal reinsurance problem under partial information
- Pricing jump risk with utility indifference
- The exp-UIV for markets with partial information and complete information
- A valuation algorithm for indifference prices in incomplete markets
- Utility based pricing and hedging of jump diffusion processes with a view to applications
- Exponential utility indifference value process in a general jump model based on random measures
- Optimal investment problems with marked point processes
- UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
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