Pseudo linear pricing rule for utility indifference valuation
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the utility indifference price by the solution of a functional differential equation, which is termed pseudo linear pricing rule. We also provide an alternative derivation of the quadratic BSDE representation for the utility indifference price. Copyright Springer-Verlag Berlin Heidelberg 2014
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Volume (Year): 18 (2014)
Issue (Month): 3 (July)
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