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.
Titolo: | Indifference price with general semimartingales |
Autori: | |
Data di pubblicazione: | 2011 |
Rivista: | |
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. |
Handle: | http://hdl.handle.net/11385/154562 |
Appare nelle tipologie: | 01.1 - Articolo su rivista (Article) |
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