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 intertemporal default risk, and provides a semigroup approximation for the utility indifference price. The key tool is the splitting method, whose convergence is proved based on the Barles-Souganidis monotone scheme, and the convergence rate is derived based on Krylov's shaking the coefficients technique. We apply our methodology to study the counterparty risk of derivatives in incomplete markets

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Year of publication:	2015
Authors:	Henderson, Vicky
Other Persons:	Liang, Gechun (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Unvollkommener Markt \| Incomplete market \| Nutzenfunktion \| Utility function \| Martingal \| Martingale

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