Exponential utility indifference valuation in a generalsemimartingale model
Year of publication: 
20080826


Authors:  Frei, Christoph ; Schweizer, Martin 
Institutions:  Finrisk 
Subject:  Nutzen  Exponentialfunktion  exponential utility  Martingal  Martingale 
 1 Introduction
 2 Motivation and definition of FER(H)
 3 Noarbitrage 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
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Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles
Carr, Peter, (2011)

Comparing Quadratic and NonQuadratic Local Risk Minimization for the Hedging of Contingent Claims
Abergel, Frederic, (2013)

Strict Local Martingale Deflators and Valuing American CallType Options
Bayraktar, Erhan, (2016)
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Some New BSDE Results for an InfiniteHorizonStochastic Control Problem
Hu, Ying, (2009)

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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