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INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES |
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| Authors: | Sara Biagini Marco Frittelli Matheus Grasselli |
| Institution: | 1. Università di Pisa;2. Università di Milano;3. McMaster University |
| Abstract: | Using duality methods, we prove several key properties of the indifference price π for contingent claims. The underlying market model is very general and the mathematical formulation is based on a duality naturally induced by the problem. In particular, the indifference price π turns out to be a convex risk measure on the Orlicz space induced by the utility function. |
| Keywords: | indifference price utility maximization non locally bounded semimartingale random endowment incomplete market Orlicz space convex duality convex risk measure |