Pseudo linear pricing rule for utility indifference valuation
针对多维非交易资产模型，研究了指数效用无差异定价，给出了两种线性近似，并提出了基于泛函微分方程解的伪线性定价规则。
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 pseudo linear pricing rule. We also provide an alternative derivation of the quadratic BSDE representation for the utility indifference price.