Journal article
INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES
Abstract
Using duality methods, we prove several key properties of the indifference price π for contingent claims. The underlying market model is very general and the mathematical formulation is based on a duality naturally induced by the problem. In particular, the indifference price π turns out to be a convex risk measure on the Orlicz space induced by the utility function.
Authors
Biagini S; Frittelli M; Grasselli M
Journal
Mathematical Finance, Vol. 21, No. 3, pp. 423–446
Publisher
Wiley
Publication Date
July 2011
DOI
10.1111/j.1467-9965.2010.00443.x
ISSN
0960-1627