Risk indifference pricing in jump diffusion markets

Mathematical Finance

Volumn 19, Issue 4, 2009, Pages 619-637

  Øksendal, Bernt ^a   Sulem, Agnès ^b  

^a UNIVERSITY OF OSLO   (Norway)

^b INRIA ROCQUENCOURT   (France)

Author keywords

HJBI equation; Jump diffusion market; Risk indifference pricing; Risk measure; Stochastic differential game; Viscosity solution

Indexed keywords

EID: 72449151867     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2009.00382.x     Document Type: Article

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