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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 ISSN 0949-2984.
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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 | ||||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||||
Journal or Publication Title: | Finance and Stochastics | ||||||
Publisher: | Springer | ||||||
ISSN: | 0949-2984 | ||||||
Official Date: | 12 June 2014 | ||||||
Dates: |
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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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