Upper and lower bounds on dynamic risk indifference prices in incomplete markets

Xavier De Scheemaekere ()

No 10-044, Working Papers CEB from ULB -- Universite Libre de Bruxelles

Keywords: Backward stochastic differential equations; Dynamic convex risk measures; Incomplete markets; Indifference pricing (search for similar items in EconPapers)
JEL-codes: C73 D52 G13 (search for similar items in EconPapers)
Pages: 20 p.
Date: 2010-09
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Working Paper: Upper and lower bounds on dynamic risk indifference prices in incomplete markets (2010)
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