A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk (Q2796752): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk |
scientific article |
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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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