UTILITY BASED PRICING AND HEDGING OF JUMP DIFFUSION PROCESSES WITH A VIEW TO APPLICATIONS
Year of publication: |
2012
|
---|---|
Authors: | ZAHN, JOCHEN |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 15.2012, 07, p. 1250052-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Incomplete markets | hedging | valuation | utility maximization | jump diffusion processes | functional differentiation |
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