Journal of Applied Mathematics and Stochastic Analysis
Volume 2008 (2008), Article ID 821243, 15 pages
Research Article

A Maximum Principle Approach to Risk Indifference Pricing with Partial Information

Ta Thi Kieu An,1 Bernt Øksendal,1,2 and Frank Proske1

1Centre of Mathematics for Applications (CMA), Department of Mathematics, University of Oslo, P.O. Box 1053 Blindern, 0316 Oslo, Norway
2Department of Finance and Management Science, Norwegian School of Economics and Business Administration, Helleveien 30, 5045 Bergen, Norway

Received 10 May 2008; Accepted 28 September 2008

Academic Editor: Yaozhong Hu

Copyright © 2008 Ta Thi Kieu An et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


We consider the problem of risk indifference pricing on an incomplete market, namely on a jump diffusion market where the controller has limited access to market information. We use the maximum principle for stochastic differential games to derive a formula for the risk indifference price priskseller(G,) of a European-type claim G.