A Maximum Principle Approach to Risk Indifference Pricing with Partial Information
Joint Authors
Proske, Frank
øksendal, Bernt
An, Ta Thi Kieu
Source
Journal of Applied Mathematics and Stochastic Analysis
Issue
Vol. 2008, Issue 2008 (31 Dec. 2008), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2008-11-18
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract 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.
American Psychological Association (APA)
An, Ta Thi Kieu& øksendal, Bernt& Proske, Frank. 2008. A Maximum Principle Approach to Risk Indifference Pricing with Partial Information. Journal of Applied Mathematics and Stochastic Analysis،Vol. 2008, no. 2008, pp.1-15.
https://search.emarefa.net/detail/BIM-500821
Modern Language Association (MLA)
An, Ta Thi Kieu…[et al.]. A Maximum Principle Approach to Risk Indifference Pricing with Partial Information. Journal of Applied Mathematics and Stochastic Analysis No. 2008 (2008), pp.1-15.
https://search.emarefa.net/detail/BIM-500821
American Medical Association (AMA)
An, Ta Thi Kieu& øksendal, Bernt& Proske, Frank. A Maximum Principle Approach to Risk Indifference Pricing with Partial Information. Journal of Applied Mathematics and Stochastic Analysis. 2008. Vol. 2008, no. 2008, pp.1-15.
https://search.emarefa.net/detail/BIM-500821
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-500821
