A Maximum Principle Approach to Risk Indifference Pricing with Partial Information

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

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