Convergence results for the indifference value based on the stability of BSDEs
نویسنده
چکیده
We study the exponential utility indifference value h for a contingent claim H in an incomplete market driven by two Brownian motions. The claim H depends on a nontradable asset variably correlated with the traded asset available for hedging. We provide an explicit sequence that converges to h, complementing the structural results for h known from the literature. Our study is based on a convergence result for quadratic backward stochastic differential equations. This convergence result, which we prove in a general continuous filtration under weak conditions, also yields that the indifference value in a setting with trading constraints enjoys a continuity property in the constraints.
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