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Utility indifference valuation for jump risky assets

  • Claudia Ceci


  • Anna Gerardi
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    Article provided by Springer in its journal Decisions in Economics and Finance.

    Volume (Year): 34 (2011)
    Issue (Month): 2 (November)
    Pages: 85-120

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    Handle: RePEc:spr:decfin:v:34:y:2011:i:2:p:85-120
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    1. Thaleia Zariphopoulou, 2001. "A solution approach to valuation with unhedgeable risks," Finance and Stochastics, Springer, vol. 5(1), pages 61-82.
    2. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71.
    3. Marco Frittelli, 2000. "The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 39-52.
    4. Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier, 1997. "Bond Market Structure in the Presence of Marked Point Processes," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 211-239.
    5. Rüdiger Frey, 2000. "Risk Minimization with Incomplete Information in a Model for High-Frequency Data," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 215-225.
    6. Michael Mania & Martin Schweizer, 2005. "Dynamic exponential utility indifference valuation," Papers math/0508489,
    7. Ying Hu & Peter Imkeller & Matthias Muller, 2005. "Utility maximization in incomplete markets," Papers math/0508448,
    8. M. Mania & R. Tevzadze, 2008. "Backward Stochastic PDEs related to the utility maximization problem," Papers 0806.0240,
    9. Claudia Ceci & Anna Gerardi, 2009. "Pricing For Geometric Marked Point Processes Under Partial Information: Entropy Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 179-207.
    10. Michael Mania & Revaz Tevzadze, 2008. "Backward Stochastic PDEs Related to the Utility Maximization Problem," ICER Working Papers - Applied Mathematics Series 07-2008, ICER - International Centre for Economic Research.
    11. Marek Musiela & Thaleia Zariphopoulou, 2004. "An example of indifference prices under exponential preferences," Finance and Stochastics, Springer, vol. 8(2), pages 229-239, 05.
    12. Richard Rouge & Nicole El Karoui, 2000. "Pricing Via Utility Maximization and Entropy," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 259-276.
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