Utility indifference pricing : an overview

By Vicky Henderson, David Hobson *. 2009

173 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/785fc48cba97dd5cc428e5a3bbbda5de817d4b8d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. David Hobson *
2. Vicky Henderson
3. Martin Schweizer
4. Susanne Klöppel
5. Michael Monoyios
6. Yan Dolinsky
7. Jocelyne Bion-Nadal
8. Nizar Touzi

Citations in the corpus

• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES (2007, background): “An early reference is Hodges and Neuberger (1989); Frittelli (2000) and Rouge and El Karoui (2000) are at the start of the recent resurgence of activity, and Becherer (2003) and Henderson and Hobson (2004) contain overviews and many more references.”
• Horizon-unbiased utility functions (2007, methodology): “This model is often called the non-traded assets model (see the survey of Henderson and Hobson [10]), or the model with basis risk (Davis [2]).”