A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk

Vicky Henderson, Gechun Liang. A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk. SIAM J. Control and Optimization, 54(2):690-717, 2016. [doi]

Abstract

Abstract is missing.