Show simple item record

dc.contributor.authorAn, Ta Thi Kieu
dc.contributor.authorØksendal, Bernt
dc.contributor.authorProske, Frank
dc.date.accessioned2018-03-22T14:06:46Z
dc.date.available2018-03-22T14:06:46Z
dc.date.issued2008
dc.identifier.citationJournal of Applied Mathematics and Stochastic Analysis. 2008,nb_NO
dc.identifier.issn2090-3332
dc.identifier.issn2090-3340
dc.identifier.urihttp://hdl.handle.net/11250/2491770
dc.description.abstractWe 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 claimnb_NO
dc.language.isoengnb_NO
dc.rightsNavngivelse 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/deed.no*
dc.titleA Maximum Principle Approach to Risk Indifference Pricing with Partial Informationnb_NO
dc.typePeer reviewednb_NO
dc.description.versionpublishedVersionnb_NO
dc.subject.nsiVDP::Mathematics and natural science: 400::Mathematics: 410nb_NO
dc.subject.nsiVDP::Social science: 200::Economics: 210::Business: 213nb_NO
dc.source.volume2008nb_NO
dc.source.journalJournal of Applied Mathematics and Stochastic Analysisnb_NO
dc.identifier.doi10.1155/2008/821243


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record

Navngivelse 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Navngivelse 4.0 Internasjonal