Convexity Bounds for BSDE Solutions, WithApplications to Indifference Valuation

We consider backward stochastic dierential equations (BSDEs) witha particular quadratic generator and study the behaviour of their solu-tions when the probability measure is changed, the ltration is shrunk,or the underlying probability space is transformed.[...]

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Year of publication:	2009-03-17
Authors:	Frei, Christoph ; Malamud, Semyon ; Schweizer, Martin
Institutions:	National Centre of Competence in ResearchFinancial Valuation and Risk Management
Subject:	Nutzen \| Konvexität \| convexity bounds \| Indifferenz \| indierencevaluation \| Stochastische Differentialgleichung \| Symmetrisierung \| symmetrisation

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1 Introduction
2 A quadratic convex BSDE
2.1 Preliminaries
2.2 Motivation for the convexity results
3 Convexity results for quadratic BSDEs
3.1 Changing the probability measure
3.2 Projecting the BSDE
3.3 Symmetrising the BSDE
4 Exponential utility indierence valuation
5 Valuation bounds from convexity
5.1 -regularising the BSDE and changing the measure
5.2 Projecting onto incompleteness
5.3 Symmetrising a nontradable claim
A Appendix: Auxiliary results
Acknowledgments
References

Persistent link: https://www.econbiz.de/10005868718