In a Markovian stochastic volatility model, we consider financial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indifference valuation is first addressed and a number of properties are proved and discussed. Special attention is taken on the comparison between the forward and backward indifference valuation. In addition, we initiate the problem of optimal risk sharing on this forward setting and we solve it when the agents' forward performance criteria are exponential.
In a Markovian stochastic volatility model, we consider ?nancial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indi?fference valuation is ? first addressed and a number of properties are proved and discussed. Special attention is given to the comparison between the forward exponential and the backward exponential utility indiff?erence valuation. In addition, we construct the problem of optimal risk sharing in this forward setting and solve it when the agents' forward performance criteria are exponential.
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