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.
Indifference price with general semimartingales / Biagini, Sara; Marco, Frittelli; Matheus, Grasselli. - In: MATHEMATICAL FINANCE. - ISSN 0960-1627. - 21:3(2011), pp. 423-446. [10.1111/j.1467-9965.2010.00443.x]
Indifference price with general semimartingales
BIAGINI, SARA;
2011
Abstract
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.
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