# Dynamic exponential utility indifference valuation

@article{Mania2005DynamicEU, title={Dynamic exponential utility indifference valuation}, author={Michael Mania and Martin Schweizer}, journal={Annals of Applied Probability}, year={2005}, volume={15}, pages={2113-2143} }

We study the dynamics of the exponential utility indifference value process C(B;\alpha) for a contingent claim B in a semimartingale model with a general continuous filtration. We prove that C(B;\alpha) is (the first component of) the unique solution of a backward stochastic differential equation with a quadratic generator and obtain BMO estimates for the components of this solution. This allows us to prove several new results about C_t(B;\alpha). We obtain continuity in B and local Lipschitz…

## 193 Citations

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We use the Ito-Ventzell formula for forward integrals and Malliavin calculus to study the stochastic control problem associated to utility indifference pricing in a market driven by Levy processes.…

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