Pseudo Linear Pricing Rule for Utility Indifference Valuation

Vicky Henderson and Gechun Liang ()

Papers from arXiv.org

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 \emph{pseudo linear pricing rule}. We also provide an alternative derivation of the quadratic BSDE representation for the utility indifference price.

Date: 2014-03
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Published in Finance and Stochastics, 2014

Downloads: (external link)
http://arxiv.org/pdf/1403.7830 Latest version (application/pdf)

Related works:
Journal Article: 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:arx:papers:1403.7830

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().