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- W2000751531 abstract "We study the risk indifference pricing principle in incomplete markets: The (seller's) risk indifference price is the initial payment that makes the risk involved for the seller of a contract equal to the risk involved if the contract is not sold, with no initial payment. We use stochastic control theory and PDE methods to find a formula for and similarly for . In particular, we prove that image where p low and p up are the lower and upper hedging prices, respectively." @default.
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- W2000751531 date "2009-10-01" @default.
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- W2000751531 title "RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS" @default.
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- W2000751531 doi "https://doi.org/10.1111/j.1467-9965.2009.00382.x" @default.
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