AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION
Year of publication: |
2007
|
---|---|
Authors: | ARAI, TAKUJI |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 10.2007, 03, p. 475-503
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Incomplete markets | indifference value | p-optimal martingale measure | Reverse hölder inequality |
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