JSTOR Daily

Exponential Utility Indifference Valuation in Two Brownian Settings with Stochastic Correlation

This is a preview. Log in through your library . Abstract We study the exponential utility indifference valuation of a contingent claim B in an incomplete market driven by two Brownian motions. The ...
JSTOR Daily

Utility-Indifference Hedging and Valuation via Reaction-Diffusion Systems

This article studies the exponential utility-indifference approach to the valuation and hedging problem in incomplete markets. We consider a financial model, which is driven by a system of interacting ...
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New Applied Mathematics Findings Reported from Sgh Warsaw School Economics (Asymptotic Optimality of a First-order Approximate Strategy for an Exponential Utility Maximization ...

2021 AUG 12 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News-- A new study on Mathematics - Applied Mathematics is now available. According to news reporting originating from ...
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Valuation and hedging of weather derivatives on monthly average temperature

In this paper, we develop two types of pricing approach, one based on the utility indifference valuation and the other on non-parametric trend prediction, and estimate their hedge effect on energy ...