Defines risk-indifference prices for American claims via dynamic convex risk measures and characterizes them with reflected BSDEs in stochastic volatility models.
Exponential hedging with optimal stopping and application to employee stock option valuation
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.PR 1years
2024 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Risk-indifference Pricing of American-style Contingent Claims
Defines risk-indifference prices for American claims via dynamic convex risk measures and characterizes them with reflected BSDEs in stochastic volatility models.