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INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES
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