Pseudo linear pricing rule for utility indifference valuation
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-014-0235-x.pdf
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4. Barrieu, P., El Karoui, N.: Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs. Ann. Probab. 41, 1831–1863 (2013)
5. Becherer, D.: Rational hedging and valuation of integrated risks under constant absolute risk aversion. Insur. Math. Econ. 33, 1–28 (2003)
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