risk indifference pricing
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Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds

SIAM Journal on Financial Mathematics ◽

10.1137/18m120436x ◽

2020 ◽

Vol 11 (2) ◽

pp. 620-658

Author(s):

Jocelyne Bion-Nadal ◽

Giulia Di Nunno

Keyword(s):

Good Deal ◽

Indifference Pricing ◽

Dynamic Risk ◽

Risk Indifference Pricing

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Risk indifference pricing of functional claims of the yield surface in the presence of partial information

Communications on Stochastic Analysis ◽

10.31390/cosa.5.3.06 ◽

2011 ◽

Vol 5 (3) ◽

Author(s):

Ta Thi Kieu An ◽

Frank Proske ◽

Mark Rubtsov

Keyword(s):

Yield Surface ◽

Partial Information ◽

Indifference Pricing ◽

Risk Indifference Pricing

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RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS

Mathematical Finance ◽

10.1111/j.1467-9965.2009.00382.x ◽

2009 ◽

Vol 19 (4) ◽

pp. 619-637 ◽

Author(s):

Bernt Øksendal ◽

Agnès Sulem

Keyword(s):

Jump Diffusion ◽

Indifference Pricing ◽

Risk Indifference Pricing

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A Maximum Principle Approach to Risk Indifference Pricing with Partial Information

Journal of Applied Mathematics and Stochastic Analysis ◽

10.1155/2008/821243 ◽

2008 ◽

Vol 2008 ◽

pp. 1-15 ◽

Author(s):

Ta Thi Kieu An ◽

Bernt Øksendal ◽

Frank Proske

Keyword(s):

Maximum Principle ◽

Partial Information ◽

Indifference Pricing ◽

Risk Indifference Pricing

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