An example of indifference prices under exponential preferences

By Marek Musiela, Thaleia Zariphopoulou. Finance and Stochastics, 2004

301 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d6c64a3a6e44b54bf63fcf48e457a9c43b8cf780

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Citations in the corpus

Minimal Entropy Martingale Measure (2010, background): “This topic has first been studied in [4], [58], [59], [64]; later work has examined intertemporally dynamic extensions ([5], [51]), descriptions via BSDEs in specific models ([6], [51]), extensions to more general payoff structures ([38], [47], [48], [61]), etc.”
Risk measure pricing and hedging in incomplete markets (2006, background): “Meanwhile, Musiela and Zariphopoulou [43], [44] and [45] mainly delt with incompleteness coming from non-traded assets and their pricing scheme is a novel mixture of utility indifference and the martingale approach.”
Explicit solutions of some utility maximization problems in incomplete markets (2004, methodology): “More recently, several papers [5,6,7,11] have employed similar methods when the utility function is U (x; y) = −e− xh(y) for ¿ 0 and have found that the maximum expected utility is again of the form (E 1= ) .”
A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model (2005, methodology): “Later, the transform has proven useful in analyzing portfolio optimization and utility indifference pricing for stochastic volatility models, seeMusiela and Zariphopoulou [4].”
A stochastic volatility model and optimal portfolio selection (2013, unknown): “Musiela and Zariphopoulou (2004) study the indifference price of a non-traded asset by maximizing exponential utility functions.”
Optimal Hedging with Basis Risk (2006, result): “Meanwhile other authors including Akahori [1], Henderson and Hobson [7], [8], [9], and Musiela and Zariphopoulou [14], had joined the party with alternative approaches and new results.”
Mean field and n‐agent games for optimal investment under relative performance criteria (2017, background): “Similar problems have been studied in Henderson (2002) and Musiela and Zariphopoulou (2004), to which we refer the reader for more detailed arguments for the specific optimization problem at hand.”
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes (2006, background): “The case when the agent does hold contingent claims is more involved, and, except for some rather specific cases, see, for example, Musiela and Zariphopoulou [ 15 ], the explicit computations are not possible.”
Dynamic exponential utility indifference valuation (2005, background): “In view of Proposition 4, we might call B 7→Ct(B;α) a convex monetary utility functional from L∞(FT ) to L ∞(Ft), because the mapping B 7→Ct(−B;α) satisfies the obvious generalizations of the axioms for a convex measure of risk as introduced in [13]; see also [5] for such a suggestion.”
Utility indifference pricing : an overview (2009, background): “The idea was also used in papers of Davis and Norman [14], Davis et al [15], Davis and Zariphopoulou [16] and Constantinides and Zariphopoulou [8], again in the context of transactions costs.”
Inf-convolution of risk measures and optimal risk transfer (2005, methodology): “Hence, using Equation (28), we have R AB (X) = ( ρ νH ) γC Using Theorem 3.”
Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model (2007, methodology): “Using payoff decomposition results (see, e.g., Musiela and Zariphopoulou [20] and [ 21 ], Stoikov and Zariphopoulou [32], and Monoyios [19]), we associate to the liability an indifference hedging strategy, say Δs (CT ) , that is the incomplete market counterpart of its arbitrage-free replicating por”