Exponential utility indifference valuation in a generalsemimartingale model
Year of publication: |
2008-08-26
|
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Authors: | Frei, Christoph ; Schweizer, Martin |
Institutions: | Finrisk |
Subject: | Nutzen | Exponentialfunktion | exponential utility | Martingal | Martingale |
- 1 Introduction
- 2 Motivation and definition of FER(H)
- 3 No-arbitrage and existence of FER(H)
- 4 Relating FER?(H) and FER?(0) to the indifference value
- 5 A BSDE characterization of the indifference value process
- 6 Application to a Brownian setting
- References
-
Stochastic Processes and Models
Malliaris, A. (Tassos) G., (2008)
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Stochastic String Models with Continuous Semimartingales
Bueno-Guerrero, Alberto, (2017)
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Martini, Claude, (2021)
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Some New BSDE Results for an Infinite-HorizonStochastic Control Problem
Hu, Ying, (2009)
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Convexity Bounds for BSDE Solutions, WithApplications to Indifference Valuation
Frei, Christoph, (2009)
-
Exponential utility indifference valuation in two Brownian settings with stochastic correlation
Frei, Christoph, (2008)
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