A numerical study of the utility-indifference approach for pricing American options (Q2194809)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A numerical study of the utility-indifference approach for pricing American options |
scientific article |
Statements
A numerical study of the utility-indifference approach for pricing American options (English)
0 references
7 September 2020
0 references
option pricing
0 references
utility-based approach
0 references
constant volatility
0 references
Hamilton-Jacobi-Bellman equation
0 references
finite differences
0 references
