Convergence results for the indifference value based on the stability of BSDEs
- Journal Article
Journal / seriesStochastics
Pages / Article No.
PublisherTaylor & Francis
SubjectIndifference valuation; Exponential utility; Correlated Brownian motions; Quadratic BSDE; Stability of BSDEs; Convergent constraint
Organisational unit03658 - Schweizer, Martin
NotesReceived 21 April 2011, Accepted 23 December 2011, Published online 21 February 2012.
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