Short Communication: A Note on Utility Indifference Pricing with Delayed Information-Reference-Cited by-同舟云学术

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Short Communication: A Note on Utility Indifference Pricing with Delayed Information

Published:2021-01 Issue:2 Volume:12 Page:SC31-SC43
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Bank Peter,Dolinsky Yan

Funder

German-Israeli Foundation for Scientific Research and Development

Israel Science Foundation

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

https://epubs.siam.org/doi/pdf/10.1137/20M1379630

Reference13 articles.

1. Option pricing with transaction costs and a nonlinear Black-Scholes equation

2. Market delay and G-expectations

3. Risk Minimization with Incomplete Information in a Model for High-Frequency Data

4. The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

Cited by 4 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. Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework;SIAM Journal on Financial Mathematics;2023-09-05

2. Optional projection under equivalent local martingale measures;Finance and Stochastics;2023-03-31

3. Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation;Mathematical Methods in the Applied Sciences;2023-03-06

4. A scaling limit for utility indifference prices in the discretised Bachelier model;Finance and Stochastics;2022-03-01

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