Indifference pricing for contingent claims : large deviations effects
Year of publication: |
2018
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Authors: | Robertson, Scott ; Spiliopoulos, Konstantinos |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 28.2018, 1, p. 335-371
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Subject: | indifference price | large deviations theory | optimal positions | vanishing hedging error | incomplete market | Unvollkommener Markt | Incomplete market | Hedging | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Martingal | Martingale |
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