Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging (Q2879039): Difference between revisions
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| Property / OpenAlex ID: W2210545002 / rank | |||
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| Property / arXiv ID: 1205.3507 / rank | |||
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| Property / cites work: OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS / rank | |||
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| Property / cites work: Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms / rank | |||
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| Property / cites work: Finite difference discretization of the extended Fisher-Kolmogorov equation in two dimensions / rank | |||
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| Property / cites work: Credit derivatives and risk aversion / rank | |||
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| Property / cites work: An example of indifference prices under exponential preferences / rank | |||
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Latest revision as of 00:00, 9 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging |
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Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging (English)
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5 September 2014
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incomplete markets
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asset pricing
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derivative pricing models
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quantitative finance techniques
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hedging with utility based preferences
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computational finance
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pricing with utility based preferences
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