Indifference valuation in incomplete binomial models
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Cites work
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- A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
- A minimality property of the minimal martingale measure
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- ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
- An example of indifference prices under exponential preferences
- Approximation pricing and the variance-optimal martingale measure
- Exponential Hedging and Entropic Penalties
- Indifference valuation in incomplete binomial models
- Minimal martingale measures for discrete-time incomplete financial markets
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
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- On the minimal martingale measure and the möllmer-schweizer decomposition
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- The minimal entropy martingale measure and the valuation problem in incomplete markets
- The variance-optimal martingale measure for continuous processes
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Cited in
(12)- Indifference pricing of a power utility function under a discrete-time model
- scientific article; zbMATH DE number 2133121 (Why is no real title available?)
- A valuation algorithm for indifference prices in incomplete markets
- Indifference valuation in incomplete binomial models
- AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION
- Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
- Indifference pricing for CRRA utilities
- Forward exponential indifference valuation in an incomplete binomial model
- Forward exponential performances: pricing and optimal risk sharing
- Exponential utility indifference valuation in two Brownian settings with stochastic correlation
- Pricing early exercise contracts in incomplete markets
- Forward indifference valuation for dynamically incoming projects
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