Defines risk-indifference prices for American claims via dynamic convex risk measures and characterizes them with reflected BSDEs in stochastic volatility models.
Pricing contingent claims in incomplete markets when the holder can choose among different payoffs
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Risk-indifference Pricing of American-style Contingent Claims
Defines risk-indifference prices for American claims via dynamic convex risk measures and characterizes them with reflected BSDEs in stochastic volatility models.