Approximate indifference pricing in exponential Lévy models (Q4585675): Difference between revisions

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Latest revision as of 08:34, 30 July 2024

scientific article; zbMATH DE number 6933336
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English
Approximate indifference pricing in exponential Lévy models
scientific article; zbMATH DE number 6933336

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    Approximate indifference pricing in exponential Lévy models (English)
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    6 September 2018
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    Lévy process
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    utility indifference price
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    mean-variance hedging
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    asymptotics
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