Browsing Department of Business and Management Science by Author "Proske, Frank"
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A Maximum Principle Approach to Risk Indifference Pricing with Partial Information
An, Ta Thi Kieu; Øksendal, Bernt; Proske, Frank (Journal article, 2008)We consider the problem of risk indifference pricing on an incomplete market, namely on a jump diffusion market where the controller has limited access to market information. We use the maximum principle for stochastic ...