Utility-based hedging and pricing with a nontraded asset for jump processes (Q424380): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91B25 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J75 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6040131 / rank | |||
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| Property / zbMATH Keywords | |||
utility maximization | |||
| Property / zbMATH Keywords: utility maximization / rank | |||
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| Property / zbMATH Keywords | |||
minimal entropy measure | |||
| Property / zbMATH Keywords: minimal entropy measure / rank | |||
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jump diffusions | |||
| Property / zbMATH Keywords: jump diffusions / rank | |||
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Revision as of 22:25, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Utility-based hedging and pricing with a nontraded asset for jump processes |
scientific article |
Statements
Utility-based hedging and pricing with a nontraded asset for jump processes (English)
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31 May 2012
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utility maximization
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minimal entropy measure
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jump diffusions
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