Approximate indifference pricing in exponential Lévy models
Year of publication: |
September 2016
|
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Authors: | Ménassé, Clément ; Tankov, Peter |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 3/4, p. 197-235
|
Subject: | Lévy process | utility indifference price | mean-variance hedging | asymptotics | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Hedging | Martingal | Martingale | Unvollkommener Markt | Incomplete market | Derivat | Derivative | Portfolio-Management | Portfolio selection | Finanzmathematik | Mathematical finance |
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