@article{TVP_2016_61_1_a2,
author = {L. Yu. Vostrikova},
title = {Expected utility maximisation for exponential {Levy} models with option and information processes},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {26--52},
year = {2016},
volume = {61},
number = {1},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_2016_61_1_a2/}
}
TY - JOUR AU - L. Yu. Vostrikova TI - Expected utility maximisation for exponential Levy models with option and information processes JO - Teoriâ veroâtnostej i ee primeneniâ PY - 2016 SP - 26 EP - 52 VL - 61 IS - 1 UR - http://geodesic.mathdoc.fr/item/TVP_2016_61_1_a2/ LA - ru ID - TVP_2016_61_1_a2 ER -
L. Yu. Vostrikova. Expected utility maximisation for exponential Levy models with option and information processes. Teoriâ veroâtnostej i ee primeneniâ, Tome 61 (2016) no. 1, pp. 26-52. http://geodesic.mathdoc.fr/item/TVP_2016_61_1_a2/
[1] Amendinger J., Becherer D., Schweizer M., “A monetary value for initial information in portfolio optimization”, Finance Stoch., 7:1 (2003), 29–46 | DOI | MR | Zbl
[2] Bertoin J., Lévy Processes, Cambridge Univ. Press, Cambridge, 1996, 265 pp. | MR
[3] Bielecki T. R., Jeanblanc M., “Indifference pricing of defaultable claims”, Indifference Pricing: Theory and Applications, ed. Carmona R., Princeton Univ. Press, Princeton, 2009, 211–240
[4] Biagini S., Frittelli M., Grasselli M., “Indifference price with general semimartingales”, Math. Finance, 21:3 (2011), 423–446 | DOI | MR | Zbl
[5] Carmona R., Indifference Pricing: Theory and Applications, Princeton Univ. Press, Princeton, 2009, 414 pp. | MR | Zbl
[6] Cawston S., Vostrikova L., “An f-divergence approach for optimal portfolios in exponential Lévy models”, Inspired by Finance: The Musiela Festschrift, eds. Kabanov Yu. et al., Springer, Cham, 2014, 83–101 | DOI | MR
[7] Cawston S., Vostrikova L., Lévy preservation and associated properties for the f-divergence minimal equivalent martingale measures, eds. Shiryaev A. N. et al., Springer, Berlin, 2013, 163–196 | MR | Zbl
[8] Eberlein E., “Jump-type Levy Processes”, Handbook of Financial Time Series, Springer-Verlag, Berlin, 2007, 439–455
[9] Eberlein E., Keller U., “Hyperbolic distributions in finance”, Bernoulli, 1:3 (1995), 281–299 | DOI | Zbl
[10] Ellanskaya A., Vostrikova L., “Utility maximization and utility indifference price for exponential semimartingale models and Hara utilities”, Proceedings of Steklov Institute of Mathematics, 287 (2014), 68–95 | DOI | Zbl
[11] Goll T., Ruschendorf L., “Minimax and minimal distance martingale measures and their relationship to portfolio optimisation”, Finance Stoch., 5:4 (2001), 557–581 | DOI | MR | Zbl
[12] Gasbarra D., Valkeila E., Vostrikova L., “Enlargement of filtration and additional information in pricing models: Bayesian approach”, From Stochastic Calculus to Mathematical Finance, eds. Kabanov Yu., et al., Springer-Verlag, Berlin, 2006, 257–285 | DOI | MR | Zbl
[13] Henderson V., Hobson D., “Utility indifference pricing —an overview”, Indifference Pricing: Theory and Applications, ed. Carmona R., Princeton Univ. Press, Princeton, 2009, 44–74 | MR
[14] Jacod J., “Grossissement initiale, hypothèse (H') et théorème de Girsanov”, Grossissements de filtrations: exemples et applications, eds. Jeulin T., Yor M., et al, Springer, Berlin, 1980, 15–35 | MR
[15] Jacod J., Calcul Stochastique et problèmes de Martingales, Springer, Berlin, 1979 | MR | Zbl
[16] J. Jacod, A. N. Shiryaev, Limit theorems for stochastic processes, Springer, Berlin, 2003 | MR | Zbl
[17] Musiela M., Zariphopoulou T., “An example of indifference prices under exponential preferences”, Finance Stoch., 8:2 (2004), 229–239 | DOI | MR | Zbl
[18] Musiela M., Zariphopoulou T., Indifference prices and related measures, Technical report, , The University of Texas at Austin, 2001 http://www.ma.utexas.edu/users/zariphop/ | Zbl
[19] Sato K., Lévy Processes and Infinitely Divisible Distributions, Cambridge Univ. Press, Cambridge, 1999, 486 pp. | MR
[20] Stricker C., Yor M., “Calcul stochastique dèpendant d'un paramétre”, Warsch. ver. Geb., 45 (1978), 109–133 | DOI | MR | Zbl