Indifference pricing of contingent claims on NIG Lévy model (Q4918944)
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scientific article; zbMATH DE number 6161144
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| English | Indifference pricing of contingent claims on NIG Lévy model |
scientific article; zbMATH DE number 6161144 |
Statements
7 May 2013
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Lévy processes
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Esscher transforms
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utility indifference pricing
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partial integro-differential equations
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Monte Carlo methods
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0.7689124345779419
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0.7656832337379456
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0.7585621476173401
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0.7441908717155457
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