A NOTE ON UTILITY INDIFFERENCE PRICING (Q2828052)

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A NOTE ON UTILITY INDIFFERENCE PRICING
scientific article

    Statements

    title
    A NOTE ON UTILITY INDIFFERENCE PRICING (English)
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    author
    Johannes Gerer
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    Gregor Dorfleitner
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    publication date
    24 October 2016
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    zbMATH Keywords
    utility indifference pricing
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    utility-based pricing
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    marginal pricing
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    shadow pricing
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    hedging
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    continuous time finance
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    derivatives pricing
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    cites work
    Q3613976
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    Q5493542
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    Q4868513
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    Q4283467
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    Q3400710
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    Q3613975
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    93E20
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    60H10
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    zbMATH DE Number
    6642664
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    OpenAlex ID
    W2395806415
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