A Maximum Principle Approach to Risk Indifference Pricing with Partial Information-Reference-Cited by-同舟云学术

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A Maximum Principle Approach to Risk Indifference Pricing with Partial Information

Published:2008-11-18 Issue: Volume:2008 Page:1-15
ISSN:1048-9533
Container-title:Journal of Applied Mathematics and Stochastic Analysis
language:en
Short-container-title:Journal of Applied Mathematics and Stochastic Analysis

Author:

An Ta Thi Kieu¹,Øksendal Bernt¹²,Proske Frank¹

Affiliation:

1. Centre of Mathematics for Applications (CMA), Department of Mathematics, University of Oslo, P.O. Box 1053 Blindern, 0316 Oslo, Norway

2. Department of Finance and Management Science, Norwegian School of Economics and Business Administration, Helleveien 30, 5045 Bergen, Norway

Publisher

Hindawi Limited

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Link

http://downloads.hindawi.com/archive/2008/821243.pdf

Reference11 articles.

1. Risk measure pricing and hedging in incomplete markets

2. Contemporary Mathematics,2004

3. DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Stackelberg stochastic differential game with asymmetric noisy observations;International Journal of Control;2021-04-22

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