Convergence results for the indifference value based on the stability of BSDEs

@inproceedings{Frei2009ConvergenceRF,
  title={Convergence results for the indifference value based on the stability of BSDEs},
  author={Christoph Frei},
  year={2009}
}
We study the exponential utility indifference value h for a contingent claim H in an incomplete market driven by two Brownian motions. The claim H depends on a nontradable asset variably correlated with the traded asset available for hedging. We provide an explicit sequence that converges to h, complementing the structural results for h known from the literature. Our study is based on a convergence result for quadratic backward stochastic differential equations. This convergence result, which… CONTINUE READING

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