A Maximum Principle Approach to Risk Indifference Pricing with Partial Information

An, Ta Thi Kieu; Øksendal, Bernt; Proske, Frank
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http://hdl.handle.net/11250/2491770
Date
2008
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Journal of Applied Mathematics and Stochastic Analysis. 2008,   10.1155/2008/821243
Abstract
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 differential games to derive a formula for the risk indifference price of a European-type claim
Journal
Journal of Applied Mathematics and Stochastic Analysis
Navngivelse 4.0 Internasjonal
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