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Pseudo linear pricing rule for utility indifference valuation

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Henderson, Vicky and Liang, Gechun (2014) Pseudo linear pricing rule for utility indifference valuation. Finance and Stochastics, 18 (3). pp. 593-615. doi:10.1007/s00780-014-0235-x

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Official URL: http://dx.doi.org/10.1007/s00780-014-0235-x

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Abstract

This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the utility indifference price by the solution of a functional differential equation, which is termed pseudo linear pricing rule. We also provide an alternative derivation of the quadratic BSDE representation for the utility indifference price.

Item Type: Journal Article
Divisions: Faculty of Science > Statistics
Journal or Publication Title: Finance and Stochastics
Publisher: Springer
ISSN: 0949-2984
Official Date: 12 June 2014
Dates:
DateEvent
12 June 2014Published
15 January 2014Accepted
Volume: 18
Number: 3
Page Range: pp. 593-615
DOI: 10.1007/s00780-014-0235-x
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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