English, Article, Journal or magazine article edition: Risk indifference pricing and backward stochastic differential equations Xavier De Scheemaekere

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Bookmark: http://trove.nla.gov.au/version/111315
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Risk indifference pricing and backward stochastic differential equations
Author
  • Xavier De Scheemaekere
Physical Description
  • preprint
Notes
  • We study a risk indifference pricing problem in incomplete markets: The (seller’s) risk indifference price is the initial payment that makes the risk involved for the seller of a contract equal to the risk involved if the contract is not sold, with no initial payment. We provide an explicit formula for the risk indifference price as the solution of a backward stochastic differential equation solving a zero-sum stochastic differential game problem.
  • Indifference pricing; Risk measure; Backward stochastic differential equation; Stochastic differential zero-sum game
  • RePEc:sol:wpaper:08-027
Language
  • English
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