Fitted finite volume method for indifference pricing in an exponential utility regime-switching model (Q2223806)

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Fitted finite volume method for indifference pricing in an exponential utility regime-switching model
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    Fitted finite volume method for indifference pricing in an exponential utility regime-switching model (English)
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    3 February 2021
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    regime-switching model
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    stochastic differential equations
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    indifference pricing
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    fitted finite volume method
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    comparison principle
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    positivity preserving scheme
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    convergence analysis
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