Convexity bounds for BSDE solutions, with applications to indifference valuation

DOI10.1007/S00440-010-0273-ZMaRDI QIDQ718884zbMATH OpenOpenAlexFDO

Authors Christoph Frei, Semyon Malamud, Martin Schweizer

Publication date 27 September 2011

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/20.500.11850/19094

zbMATH Keywords

exponential utilityquadratic BSDEsymmetrisationconvexity boundsindifference valuation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 5666915 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Borel Measurability in Linear Algebra
• Comparison results for elliptic and parabolic equations via symmetrization: A new approach
• Continuous exponential martingales and BMO
• Dynamic exponential utility indifference valuation
• Exponential utility indifference valuation in two Brownian settings with stochastic correlation
• Pricing and hedging of derivatives based on nontradable underlyings
• Pricing, hedging, and designing derivatives with risk measures
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Utility maximization in incomplete markets

Cited in

(6)

• Computation of convex bounds for present value functions with random payments
• Convergence results for the indifference value based on the stability of BSDEs
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
• Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
• Pricing Principle via Tsallis Relative Entropy in Incomplete Markets
• Pseudo linear pricing rule for utility indifference valuation

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