Upper and lower bounds on dynamic risk indifference prices in incomplete markets
| Year of publication: |
2010-09
|
|---|---|
| Authors: | De Scheemaekere, Xavier |
| Institutions: | Centre Emile Bernheim, Solvay Brussels School of Economics and Management |
| Subject: | Backward stochastic differential equations | Dynamic convex risk measures | Incomplete markets | Indifference pricing |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | Published by: The text is part of a series Working Papers CEB Number 10-044 20 pages long |
| Classification: | C73 - Stochastic and Dynamic Games ; D52 - Incomplete Markets ; G13 - Contingent Pricing; Futures Pricing |
| Source: |
Persistent link: https://www.econbiz.de/10008492330