Defines risk-indifference prices for American claims via dynamic convex risk measures and characterizes them with reflected BSDEs in stochastic volatility models.
Fully-dynamic risk-indifference pricing and no-good-deal bounds
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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.