The Library
Pseudo linear pricing rule for utility indifference valuation
Tools
Tools
Tools
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
Research output not available from this repository, contact author.
Official URL: http://dx.doi.org/10.1007/s00780-014-0235-x
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: |
|
||||||
| 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 |
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
