Utility-based indifference pricing in regime-switching models

DOI10.1016/J.NA.2011.06.009MaRDI QIDQ640157zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Tak Kuen Siu

Publication date 17 October 2011

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.na.2011.06.009

zbMATH Keywords

linear programmingdynamic programminghedgingexponential utilitycontingent claim valuationMarkov regime-switching Hamilton-Jacobi-Bellman (HJB) equationsproduct price kernelregime-switching riskutility indifference

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Linear programming (90C05) Portfolio theory (91G10) Credit risk (91G40) Optimal stochastic control (93E20)

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Cited in

(7)

• Disappointment aversion premium principle
• Fitted finite volume method for indifference pricing in an exponential utility regime-switching model
• On pricing barrier control in a regime-switching regulated market
• On pricing and hedging options in regime-switching models with feedback effect
• Default Times in a Continuous-Time Markovian Regime Switching Model
• Attainable contingent claims in a Markovian regime-switching market
• Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact

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