Musiela, Marek; Zariphopoulou, Thaleia - In: Finance and Stochastics 8 (2004) 3, pp. 399-414
A probabilistic iterative algorithm is constructed for indifference prices of claims in a multiperiod incomplete model. At each time step, a nonlinear pricing functional is applied that isolates and prices separately the two types of risk. It is represented solely in terms of risk aversion and...