We apply utility indifference pricing to solve a contingent claim problem, valuing a connected pair of gas fields where the underlying process is not standard Geometric Brownian motion and the assumption of complete markets is not fulfilled. First, empirical data are often characterized by...

Purpose – This study develops a non-traditional measure of risk, an Exposure-Based Volatility, for the non-financial company and applies this measure to capture both the downside potential of cash flows and the probability of requiring additional external financing under most foreseeable...