Work

Pseudo Linear Pricing Rule for Utility Indifference Valuation

Year: 2014

Type: preprint

Abstract: This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the utility indifference price by the solution of a functional differential equation, which is termed \emph{pseudo linear pricing rule}. We also provide an alternative derivation of the quadratic BSDE representation for the utility indifference price.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.1403.7830

Authors: Henderson, Vicky, Liang, Gechun

Institutions: University of Warwick, University of Oxford, King's College London

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2953091652

Cites: 22

Cited by: 2

Related to: 20