A Maximum Principle Approach to Risk Indifference Pricing with Partial Information

[摘要] We consider the problem of risk indifference pricing on an incompletemarket, namely on a jump diffusion market where thecontroller has limited access to market information. We usethe maximum principle for stochastic differential games to derivea formula for the risk indifference pricepriskseller(G,ℰ)of a European-type claimG.

[学科分类] 应用数学