Before revision: This paper studies a contingent claim pricing problem in incomplete markets , based on the risk indifference principle . The seller's dynamic risk indifference price is the payment that makes the risk involved for the seller of a contract equal, at any time, to the risk involved if the contract is not sold and no payment is received. An explicit formula for the dynamic risk indifference price is given as the solution of a one-dimensional linear BSDE with stochastic Lipschitz coefficient .
After revision: This paper studies a contingent claim pricing problem in incomplete markets , based on the risk indifference principle , an explicit formula for the dynamic risk indifference price is given as the solution of a one-dimensional linear BSDE with stochastic Lipschitz coefficient .