Utility indifference valuation for jump risky assets
Year of publication: |
2011
|
---|---|
Authors: | Ceci, Claudia ; Gerardi, Anna |
Published in: |
Decisions in Economics and Finance. - Springer, ISSN 1593-8883. - Vol. 34.2011, 2, p. 85-120
|
Publisher: |
Springer |
Subject: | Utility maximization | Backward stochastic differential equations | Jump processes | Dynamic indifference valuation | Minimal entropy measure |
-
Ceci, Claudia, (2012)
-
CECI, CLAUDIA, (2012)
-
Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
Quenez, Marie-Claire, (2014)
- More ...
-
A model for high frequency data under partial information : a filtering approach
Ceci, Claudia, (2006)
-
Pricing for geometric marked point processes under partial information : entropy approach
Ceci, Claudia, (2009)
-
Utility indifference valuation for jump risky assets
Ceci, Claudia, (2011)
- More ...