Utility indifference valuation for jump risky assets

Claudia Ceci () and Anna Gerardi

Decisions in Economics and Finance, 2011, vol. 34, issue 2, pages 85-120

Keywords: Utility maximization; Backward stochastic differential equations; Jump processes; Dynamic indifference valuation; Minimal entropy measure; C61; G11; G13 (search for similar items in EconPapers)
Date: 2011
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