Utility indifference pricing : a time consistent approach
Year of publication: |
2013
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Authors: | Pirvu, Traian A. ; Zhang, Huayue |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 20.2013, 3/4, p. 304-326
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Subject: | time consistency | time inconsistent control | incomplete market | utility indifference price | Theorie | Theory | Unvollkommener Markt | Incomplete market | Zeitkonsistenz | Time consistency | Intertemporale Entscheidung | Intertemporal choice | Nutzen | Utility | Martingal | Martingale |
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