2 papers
q-fin.PR2024
Risk-indifference Pricing of American-style Contingent Claims
Rohini Kumar, Frederick "Forrest" Miller, Hussein Nasralah +1
This paper studies the pricing of contingent claims of American style, using indifference pricing by fully dynamic convex risk measures. We provide a general definition of risk-ind…
math.PR2016
Asymptotic approximation of optimal portfolio for small time horizons
Rohini Kumar, Hussein Nasralah
We consider the problem of portfolio optimization in a simple incomplete market and under a general utility function. By working with the associated Hamilton-Jacobi-Bellman partial…