RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS (Q3650925)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS |
scientific article |
Statements
RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS (English)
0 references
7 December 2009
0 references
incomplete market
0 references
risk indifference pricing principle
0 references
risk measure
0 references
stochastic differential game
0 references
jump diffusion market
0 references
viscosity solution
0 references
superreplication
0 references
0 references
0 references
0 references
