most citedUtility maximisation and utility indifference price for exponential semi-martingale models with random factor

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q-fin.PR2013★ 2 cited

Utility maximisation and utility indifference price for exponential semi-martingale models with random factor

Anastasia Ellanskaya, Lioudmila Vostrikova

We consider utility maximization problem for semi-martingale models depending on a random factor . We reduce initial maximization problem to the conditional one, given , wh…