A Maximum Principle Approach to Risk Indifference Pricing with Partial Information

الملخص EN

We consider the problem of risk indifference pricing on an incomplete market, namely on a jump diffusion market where the controller has limited access to market information.

We use the maximum principle for stochastic differential games to derive a formula for the risk indifference price priskseller(G,ℰ) of a European-type claim G.