Explicit representations for utility indifference prices
Markus Hess
| Year of publication: |
2021
|
|---|---|
| Authors: | Hess, Markus |
| Subject: | contingent claim | enlarged filtration | information premium | risk aversion | stochastic control problem | stochastic maximum principle | Utility indifference price | wealth process | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Nutzen | Utility | Risikoaversion | Risk aversion | Nutzenfunktion | Utility function | Kontrolltheorie | Control theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2021.1922297 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012625986