A scaling limit for utility indifference prices in the discretised Bachelier model
Year of publication: |
2022
|
---|---|
Authors: | Cohen, Asaf ; Dolinsky, Yan |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 26.2022, 2, p. 335-358
|
Subject: | Asymptotic analysis | Path-dependent SDEs | Strong approximations | Utility indifference |
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