Exponential utility indifference valuation in two Brownian settings with stochastic correlation (Q3516396)
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scientific article; zbMATH DE number 5306871
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| English | Exponential utility indifference valuation in two Brownian settings with stochastic correlation |
scientific article; zbMATH DE number 5306871 |
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Exponential utility indifference valuation in two Brownian settings with stochastic correlation (English)
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5 August 2008
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exponential utility
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indifference valuation
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nontradable asset
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stochastic volatility
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random endowment
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distortion power
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correlated Brownian motion
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0.789984941482544
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0.766888439655304
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0.7663453221321106
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0.7591590285301208
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0.7567726969718933
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