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Utility–indifference hedging and valuation via reaction–diffusion systems
16 references·5 citing·29 second hop
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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1981Point Processes and Queues1,652 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 2019Semimartingale Theory and Stochastic Calculus488 cited
  • 2000Pricing Via Utility Maximization and Entropy454 cited
  • 2002Exponential Hedging and Entropic Penalties369 cited
  • 2002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION257 cited
  • 2001Utility maximization in incomplete markets with random endowment229 cited
  • 2002Real options with constant relative risk aversion151 cited
  • 2000Martingales versus PDEs in finance: an equivalence result with examples125 cited
  • 2002On the minimal entropy martingale measure123 cited
  • 2002On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper123 cited
  • 2003Rational hedging and valuation of integrated risks under constant absolute risk aversion109 cited
  • 2000Introduction to a theory of value coherent with the no-arbitrage principle98 cited

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Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
93 cited

Cited by

  • 2013EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS36 cited
  • 2007On the Spanning Property of Risk Bonds Priced by Equilibrium33 cited
  • 2007Indifference Pricing and Hedging for Volatility Derivatives29 cited
  • 2006Characterisation of optimal dual measures via distortion26 cited
  • 2010The Density Process of theMinimal Entropy Martingale Measure in a Stochastic Volatility Model with Jumps (Reprint)25 cited