Add to ORKGWe consider the geometric Levy processes and we study the utility indi erence pricing approach for the European type option. Describing the investor's risk preferences by the socalled HARA-utilities we de ne the formulas for their value functions on the initially enlarged ltration and the equations for the indi erence prices
This paper deals with pricing and hedging based on utility indifferences for exponential utility. We...
In this paper, we first derive the solution of the classical Merton problem, i.e. maximising the uti...
International audienceIn this paper, we study the pricing of life insurance portfolios in the presen...
Abstract. We consider utility maximization problem for semi-martingale models depending on a random ...
Utility indifference pricing and hedging theory is presented, showing how it leads to linear or to n...
We consider the problem of exponential utility indifference valuation under the simplified framework...
We consider the problem of exponential utility indifference valuation under the simplified framework...
The main purpose of this dissertation is to investigate the problems of contingent claim valuation i...
Abstract. Utility indifference pricing and hedging theory is presented, showing how it leads to line...
We consider the problem of utility indifference pricing of a put option written on a non-tradeable a...
This paper considers exponential utility indifference pricing for a multidimensional non-traded asse...
International audienceWe study the utility indifference price of a European option in the context of...
We study utility indifference pricing of claim streams with intertemporal consumption and constant r...
This paper considers exponential utility indifference pricing for a multidimensional nontraded asset...
We present counterparty risk by a jump in the underlying price and a structural change of the price ...
This paper deals with pricing and hedging based on utility indifferences for exponential utility. We...
In this paper, we first derive the solution of the classical Merton problem, i.e. maximising the uti...
International audienceIn this paper, we study the pricing of life insurance portfolios in the presen...
Abstract. We consider utility maximization problem for semi-martingale models depending on a random ...
Utility indifference pricing and hedging theory is presented, showing how it leads to linear or to n...
We consider the problem of exponential utility indifference valuation under the simplified framework...
We consider the problem of exponential utility indifference valuation under the simplified framework...
The main purpose of this dissertation is to investigate the problems of contingent claim valuation i...
Abstract. Utility indifference pricing and hedging theory is presented, showing how it leads to line...
We consider the problem of utility indifference pricing of a put option written on a non-tradeable a...
This paper considers exponential utility indifference pricing for a multidimensional non-traded asse...
International audienceWe study the utility indifference price of a European option in the context of...
We study utility indifference pricing of claim streams with intertemporal consumption and constant r...
This paper considers exponential utility indifference pricing for a multidimensional nontraded asset...
We present counterparty risk by a jump in the underlying price and a structural change of the price ...
This paper deals with pricing and hedging based on utility indifferences for exponential utility. We...
In this paper, we first derive the solution of the classical Merton problem, i.e. maximising the uti...
International audienceIn this paper, we study the pricing of life insurance portfolios in the presen...