Dynamic exponential utility indifference valuation

  title={Dynamic exponential utility indifference valuation},
  author={Michael Mania and Martin Schweizer},
  journal={Annals of Applied Probability},
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… 
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  • Dirk Becherer
  • Economics
    Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences
  • 2004
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