dc.contributor.author | An, Ta Thi Kieu | |
dc.contributor.author | Øksendal, Bernt | |
dc.contributor.author | Proske, Frank | |
dc.date.accessioned | 2018-03-22T14:06:46Z | |
dc.date.available | 2018-03-22T14:06:46Z | |
dc.date.issued | 2008 | |
dc.identifier.citation | Journal of Applied Mathematics and Stochastic Analysis. 2008, | nb_NO |
dc.identifier.issn | 2090-3332 | |
dc.identifier.issn | 2090-3340 | |
dc.identifier.uri | http://hdl.handle.net/11250/2491770 | |
dc.description.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 | nb_NO |
dc.language.iso | eng | nb_NO |
dc.rights | Navngivelse 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/deed.no | * |
dc.title | A Maximum Principle Approach to Risk Indifference Pricing with Partial Information | nb_NO |
dc.type | Journal article | en |
dc.description.version | publishedVersion | nb_NO |
dc.subject.nsi | VDP::Mathematics and natural science: 400::Mathematics: 410 | nb_NO |
dc.subject.nsi | VDP::Social science: 200::Economics: 210::Business: 213 | nb_NO |
dc.source.volume | 2008 | nb_NO |
dc.source.journal | Journal of Applied Mathematics and Stochastic Analysis | nb_NO |
dc.identifier.doi | 10.1155/2008/821243 | |