A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk (Q2796752): Difference between revisions

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Latest revision as of 10:44, 30 July 2024

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A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
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    A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk (English)
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    29 March 2016
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    utility indifference pricing
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    reaction-diffusion PDE with quadratic gradients
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    splitting method
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    monotone scheme
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    shaking the coefficients technique
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    counterparty risk
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