Bond Indifference Prices

2020 ◽  
Author(s):  
Matthew Lorig ◽  
Bin Zou
Keyword(s):  
Indifference Prices

scholarly journals A model for a large investor trading at market indifference prices. II: Continuous-time case

2015 ◽  
Vol 25 (5) ◽  
pp. 2708-2742 ◽  
Author(s):  
Peter Bank ◽  
Dmitry Kramkov
Keyword(s):  
Continuous Time ◽  
Investor Trading ◽  
Indifference Prices

scholarly journals Convergence of Utility Indifference Prices to the Superreplication Price

2006 ◽  
Vol 64 (1) ◽  
pp. 145-154 ◽  
Author(s):  
Laurence Carassus ◽  
Miklós Rásonyi
Keyword(s):  
Utility Indifference ◽  
Indifference Prices

Indifference prices of early exercise claims

2004 ◽  
pp. 259-271 ◽  
Author(s):  
Marek Musiela ◽  
Thaleia Zariphopoulou
Keyword(s):  
Early Exercise ◽  
Indifference Prices

scholarly journals Superreplication when trading at market indifference prices

2015 ◽  
Vol 20 (1) ◽  
pp. 153-182
Author(s):  
Peter Bank ◽  
Selim Gökay
Keyword(s):  
Indifference Prices

scholarly journals A model for a large investor trading at market indifference prices. I: Single-period case

2015 ◽  
Vol 19 (2) ◽  
pp. 449-472 ◽  
Author(s):  
Peter Bank ◽  
Dmitry Kramkov
Keyword(s):  
Single Period ◽  
Investor Trading ◽  
Indifference Prices

Recursiveness of indifference prices and translation-invariant preferences

2009 ◽  
Vol 2 (3) ◽  
pp. 173-188 ◽  
Author(s):  
Patrick Cheridito ◽  
Michael Kupper
Keyword(s):  
Translation Invariant ◽  
Indifference Prices
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