Indifference price with general semimartingales

Mathematical Finance

Volumn 21, Issue 3, 2011, Pages 423-446

  Biagini, Sara ^a   Frittelli, Marco ^b   Grasselli, Matheus ^c  

^a UNIVERSITY OF PISA   (Italy)

^b UNIVERSITY OF MILAN   (Italy)

^c MCMASTER UNIVERSITY   (Canada)

Author keywords

Convex duality; Convex risk measure; Incomplete market; Indifference price; Non locally bounded semimartingale; Orlicz space; Random endowment; Utility maximization

Indexed keywords

EID: 79955884903     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2010.00443.x     Document Type: Article

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