updating formula. We apply these arguments to the utility indifference price approach, and present pricing method taken into …

approach for expected utility maximization. We also present an expected utility indifference pricing approach under partial …

The pricing and hedging of long dated derivative contracts is a challenging area of research. As a result of utility … indifference pricing for general payoffs the growth optimal portfolio turns out to be the appropriate numeraire or benchmark with …

incomplete markets by using utility-indifference arguments. …

result on utility indifference prices which is valid for both complete and incomplete financial markets. In particular, if … aversion, we show that the utility indifference price converges to the expectation of the discounted payoff under the minimal …

exponential utility from terminal wealth and determine the utility indifference price of the claim. The method is illustrated with …