Approximate indifference pricing in exponential Lévy models (Q4585675)
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scientific article; zbMATH DE number 6933336
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| default for all languages | No label defined |
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| English | Approximate indifference pricing in exponential Lévy models |
scientific article; zbMATH DE number 6933336 |
Statements
Approximate indifference pricing in exponential Lévy models (English)
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6 September 2018
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Lévy process
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utility indifference price
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mean-variance hedging
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asymptotics
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0.7944093346595764
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0.7844448685646057
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0.7838549613952637
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0.7767136693000793
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0.7741873860359192
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