indifference valuation Recently Published Documents

Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation

Computers & Mathematics with Applications ◽

10.1016/j.camwa.2020.02.007 ◽

2020 ◽

Vol 79 (12) ◽

pp. 3394-3409 ◽

Cited By ~ 1

Author(s):

Peng Li ◽

Xiaoping Lu ◽

Song-Ping Zhu

Keyword(s):

Market Price ◽

Weather Derivatives ◽

Market Price Of Risk ◽

Price Of Risk ◽

Indifference Valuation ◽

Utility indifference valuation of corporate bond with credit rating migration by structure approach

Economic Modelling ◽

10.1016/j.econmod.2015.12.002 ◽

2016 ◽

Vol 54 ◽

pp. 339-346 ◽

Cited By ~ 11

Author(s):

Jin Liang ◽

Yuejuan Zhao ◽

Xudan Zhang

Keyword(s):

Credit Rating ◽

Corporate Bond ◽

Structure Approach ◽

Indifference Valuation ◽

Springer Proceedings in Mathematics & Statistics - Advanced Modelling in Mathematical Finance ◽

Forward Exponential Indifference Valuation in an Incomplete Binomial Model

10.1007/978-3-319-45875-5_13 ◽

2016 ◽

pp. 277-302 ◽

Cited By ~ 1

Author(s):

M. Musiela ◽

E. Sokolova ◽

T. Zariphopoulou

Keyword(s):

Binomial Model ◽

Utility Indifference Valuation for Non-smooth Payoffs with an Application to Power Derivatives

Applied Mathematics & Optimization ◽

10.1007/s00245-015-9306-4 ◽

2015 ◽

Vol 73 (2) ◽

pp. 349-389 ◽

Cited By ~ 4

Author(s):

Giuseppe Benedetti ◽

Luciano Campi

Keyword(s):

Indifference Valuation ◽

Power Derivatives ◽

Utility indifference valuation of corporate bond with rating migration risk

Frontiers of Mathematics in China ◽

10.1007/s11464-015-0445-3 ◽

2015 ◽

Vol 10 (6) ◽

pp. 1389-1400

Author(s):

Jin Liang ◽

Xudan Zhang ◽

Yuejuan Zhao

Keyword(s):

Corporate Bond ◽

Indifference Valuation ◽

Robust Portfolio Choice and Indifference Valuation

Mathematics of Operations Research ◽

10.1287/moor.2014.0646 ◽

2014 ◽

Vol 39 (4) ◽

pp. 1109-1141 ◽

Cited By ~ 43

Author(s):

Roger J. A. Laeven ◽

Mitja Stadje

Keyword(s):

Portfolio Choice ◽

Indifference Valuation ◽

Robust Portfolio

Pseudo linear pricing rule for utility indifference valuation

Finance and Stochastics ◽

10.1007/s00780-014-0235-x ◽

2014 ◽

Vol 18 (3) ◽

pp. 593-615 ◽

Cited By ~ 9

Author(s):

Vicky Henderson ◽

Gechun Liang

Keyword(s):

Indifference Valuation ◽

Utility Indifference ◽

Pricing Rule

Forward indifference valuation of American options

Stochastics ◽

10.1080/17442508.2012.694438 ◽

2012 ◽

Vol 84 (5-6) ◽

pp. 741-770 ◽

Cited By ~ 9

Author(s):

Tim Leung ◽

Ronnie Sircar ◽

Thaleia Zariphopoulou

Keyword(s):

American Options ◽

Forward Indifference Valuation of American Options

SSRN Electronic Journal ◽

10.2139/ssrn.1587057 ◽

2011 ◽

Cited By ~ 2

Author(s):

Tim Siu-Tang Leung ◽

Ronnie Sircar ◽

Thaleia Zariphopoulou

Keyword(s):

American Options ◽