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تسجيل مستخدم جديدPseudo Linear Pricing Rule for Utility Indifference Valuation
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This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the utility indifference price by the solution of a functional differential equation, which is termed emph{pseudo linear pricing rule}. We also provide an alternative derivation of the quadratic BSDE representation for the utility indifference price.
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