Bounds and asymptotic approximations for utility prices when volatility is random

SIAM Journal on Control and Optimization

Volumn 43, Issue 4, 2005, Pages 1328-1353

  Sircar, Ronnie ^a   Zariphopoulou, Thaleia ^b  

^a Princeton University   (United States)

^b UNIVERSITY OF TEXAS AT AUSTIN   (United States)

Author keywords

Derivative pricing; Financial mathematics; Stochastic volatility; Utility indifference pricing

Indexed keywords

DERIVATIVE PRICING; FINANCIAL MATHEMATICS; STOCHASTIC VOLATILITY; UTILITY INDIFFERENCE PRICING;

APPROXIMATION THEORY; ASYMPTOTIC STABILITY; BOUNDARY CONDITIONS; CORRELATION METHODS; FUNCTIONS; PROBLEM SOLVING; RANDOM PROCESSES; RISKS; SET THEORY;

MATHEMATICAL PROGRAMMING;

EID: 20444500313     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012903409253     Document Type: Article

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