Exponential utility

Known as: Exponential utility function 
In economics and finance, exponential utility refers to a specific form of the utility function, used in some contexts because of its convenience… (More)
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2010
2010
The scope of this paper is to enhance the model for the owncompany stockholder (given in Desmettre, Gould and Szimayer (2010… (More)
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2010
2010
This paper deals with pricing and hedging based on utility indifference for exponential utility. We consider the limit for… (More)
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Highly Cited
2007
Highly Cited
2007
We introduce a class of utility-based market makers that always accept orders at their risk-neutral prices. We derive necessary… (More)
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Highly Cited
2007
Highly Cited
2007
In the area of dynamic revenue management, optimal pricing policies are typically computed on the basis of an underlying demand… (More)
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2006
2006
We provide a method to solve dynamic expected utility maximization problems with possibly not everywhere increasing utility… (More)
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Highly Cited
2005
Highly Cited
2005
We study the dynamics of the exponential utility indifference value process C(B; α) for a contingent claim B in a semimartingale… (More)
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Highly Cited
2005
Highly Cited
2005
Due to the characteristics of wireless channels, utility-based resource management in wireless networks requires a set of… (More)
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Highly Cited
2002
Highly Cited
2002
A topical problem is how to price and hedge claims on nontraded assets. A natural approach is to use for hedging purposes another… (More)
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Highly Cited
1995
Highly Cited
1995
We consider a rm that is faced with an uncontrollable stochastic cash ow, or random risk process. There is one investment… (More)
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1986
1986
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org… (More)
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