Exponential utility indifference valuation in two Brownian settings with stochastic correlation
نویسندگان
چکیده
منابع مشابه
Exponential utility indifference valuation in two Brownian settings with stochastic correlation
We study the exponential utility indifference valuation of a contingent claim B in an incomplete market driven by two Brownian motions. The claim depends on a nontradable asset stochastically correlated with the traded asset available for hedging. We use martingale arguments to provide upper and lower bounds, in terms of bounds on the correlation, for the value V B of the exponential utility ma...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2008
ISSN: 0001-8678,1475-6064
DOI: 10.1239/aap/1214950210