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