Convexity bounds for BSDE solutions, with applications to indifference valuation
DOI10.1007/S00440-010-0273-ZzbMATH Open1227.60073OpenAlexW2144035294MaRDI QIDQ718884FDOQ718884
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
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Cites Work
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Utility maximization in incomplete markets
- Dynamic exponential utility indifference valuation
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- Backward Stochastic Differential Equations in Finance
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Continuous exponential martingales and BMO
- 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
- Comparison results for elliptic and parabolic equations via symmetrization: A new approach
- Borel Measurability in Linear Algebra
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Cited In (6)
- Computation of convex bounds for present value functions with random payments
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- Convergence results for the indifference value based on the stability of BSDEs
- Pseudo linear pricing rule for utility indifference valuation
- Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
- Pricing Principle via Tsallis Relative Entropy in Incomplete Markets
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