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A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk

This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model subject to inter-temporal default risk, and provides a semigroup approximation for the utility indifference price. The key tool is the splitting method. We apply our methodology to study the counterparty risk of derivatives in incomplete markets.
Year of publication:
2011-11
Authors: Henderson, Vicky ; Liang, Gechun
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
Language: English
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Persistent link: https://www.econbiz.de/10009369471
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