A Maximum Principle Approach to Risk Indifference Pricing with Partial Information

摘要

We consider the problem of risk indifference pricing on an incomplete market, namely on ajump diffusion market where the controller has limited access to market information. We use themaximum principle for stochastic differential games to derive a formula for the risk indifferenceprice p_(risk)~(seller)(G,ε) of a European-type claim G.