Dynamic exponential utility indifference valuation
dc.contributor.author
Mania, Michael
dc.contributor.author
Schweizer, Martin
dc.date.accessioned
2017-06-09T10:04:15Z
dc.date.available
2017-06-09T10:04:15Z
dc.date.issued
2005
dc.identifier.issn
2168-8737
dc.identifier.issn
1050-5164
dc.identifier.other
10.1214/105051605000000395
dc.identifier.uri
http://hdl.handle.net/20.500.11850/32059
dc.language.iso
en
dc.publisher
Institute of Mathematical Statistics
dc.subject
Indifference value
dc.subject
Exponential utility
dc.subject
Dynamic valuation
dc.subject
BSDE
dc.subject
Semimartingale
dc.subject
Backward equation
dc.subject
BMO-martingales
dc.subject
Incomplete markets
dc.subject
Minimal entropy martingale measure
dc.title
Dynamic exponential utility indifference valuation
dc.type
Journal Article
ethz.journal.title
The Annals of Applied Probability
ethz.journal.volume
15
ethz.journal.issue
3
ethz.journal.abbreviated
Ann. Appl. Probab.
ethz.pages.start
2113
ethz.pages.end
2143
ethz.notes
Received September 2004.
ethz.identifier.wos
ethz.identifier.nebis
000585235
ethz.publication.place
Cleveland, OH
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.date.deposited
2017-06-09T10:04:22Z
ethz.source
ECIT
ethz.identifier.importid
imp59364dcce4ab134993
ethz.ecitpid
pub:52606
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-18T08:11:03Z
ethz.rosetta.lastUpdated
2022-03-28T09:33:38Z
ethz.rosetta.versionExported
true
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Journal Article [128745]