Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility
Year of publication: |
2019
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Authors: | Hodoshima, Jiro ; Yamawake, Toshiyuki |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 28.2019, p. 74-81
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Subject: | GARCH | Normal mixture | Utility indifference pricing | Value measure | Volatilität | Volatility | ARCH-Modell | ARCH model | Börsenkurs | Share price | Optionspreistheorie | Option pricing theory | Unvollkommener Markt | Incomplete market | Statistische Verteilung | Statistical distribution | Martingal | Martingale |
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