PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS (Q3553257)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS |
scientific article |
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PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS (English)
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22 April 2010
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financial derivatives
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hedging
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utility-based pricing
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BSDE
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forward-backward stochastic differential equation (FBSDE)
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quadratic growth
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differentiability
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pricing by marginal utility
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