A multidimensional exponential utility indifference pricing model with applications to counterparty risk (Q2796752)
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scientific article; zbMATH DE number 6560838
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A multidimensional exponential utility indifference pricing model with applications to counterparty risk |
scientific article; zbMATH DE number 6560838 |
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29 March 2016
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utility indifference pricing
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reaction-diffusion PDE with quadratic gradients
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splitting method
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monotone scheme
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shaking the coefficients technique
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counterparty risk
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A multidimensional exponential utility indifference pricing model with applications to counterparty risk (English)
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0.7616143822669983
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0.7608450651168823
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0.7603551745414734
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0.7557669281959534
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0.7549036741256714
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