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- W2022642423 abstract "We consider the optimal exponential utility in a bond market with jumps basing on a model similar to Bjork et al. [4], which is arbitrage free. Similar to the normalized integral with respect to the cylindrical martingale first introduced in Mikulevicius and Rozovskii [13], we introduce the (𝕄, Q 0)-normalized martingale and local (𝕄, Q 0)-normalized martingale. For a given maturity T 0 ∈ [0, T*], we describe the minimal entropy martingale (MEM) based on [T 0, T*] by a backward semimartingale equation (BSE) w.r.t. the (𝕄, Q 0)-normalized martingale. Then we give an explicit form of the optimal approximate wealth to the optimal exp-utility problem by making use of the solution of the BSE. Finally, we describe the dynamics of the exp utility indifference valuation of a bounded contingent claim H ∈ L ∞(ℱ T 0 ) by another BSE under the minimal entropy martingale measure in the incomplete market." @default.
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- W2022642423 date "2010-12-27" @default.
- W2022642423 modified "2023-09-23" @default.
- W2022642423 title "Optimal Exponential Utility in a Jump Bond Market" @default.
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- W2022642423 doi "https://doi.org/10.1080/07362994.2011.532025" @default.
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