INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES
By Sara Biagini, Marco Frittelli, M. Grasselli. 2009
54 citations recorded by the source corpus.
Using duality methods, we prove several key properties of the indifference price π for contingent claims. The underlying market model is very general and the mathematical formulation is based on a duality naturally induced by the problem. In particular, the indifference price π turns out to be a convex risk measure on the Orlicz space induced by the utility function.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/1c5359c1b46f474bc3eeb20c45772151cb021b8b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Sara Biagini
- Marco Frittelli
- Ying Hu
- Anthony R'eveillac
- Peter Imkeller
- Ulrich Horst
- Mingxin Xu
- Nicole El Karoui
In Finance
- Sara Biagini
- Marco Frittelli
- Ying Hu
- Anthony R'eveillac
- Peter Imkeller
- Jianing Zhang
- Ulrich Horst
- P. Briand
In Management Science and Operations Research
- Sara Biagini
- Marco Frittelli
- Ying Hu
- Anthony R'eveillac
- Peter Imkeller
- P. Briand
- Shige Peng
- Hans Föllmer
Citations in the corpus
- Forward-backward systems for expected utility maximization (2011, background): “We also remark that a more general setting is considered in [3].”
- A Unified Framework for Utility Maximization Problems: an Orlicz space approach (2007, background): “The paper [ 7 ] is entirely dedicated to the resolution of this problem.”