Pseudo linear pricing rule for utility indifference valuation

Vicky Henderson () and Gechun Liang ()

Finance and Stochastics, 2014, vol. 18, issue 3, 593-615

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 pseudo linear pricing rule. We also provide an alternative derivation of the quadratic BSDE representation for the utility indifference price. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Utility indifference pricing; Quadratic BSDE; Functional differential equation; FBSDE; 91G40; 91G80; 60H30; G11; G13 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00780-014-0235-x (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Pseudo Linear Pricing Rule for Utility Indifference Valuation (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:18:y:2014:i:3:p:593-615

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

DOI: 10.1007/s00780-014-0235-x

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().