Utility indifference hedging with exponential additive processes
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Publication:1959132
DOI10.1007/s10690-009-9106-4zbMath1195.91165OpenAlexW2076688919MaRDI QIDQ1959132
Thorsten Rheinländer, Gallus Steiger
Publication date: 6 October 2010
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-009-9106-4
minimal entropy martingale measureexponential additive processesutility indifference pricing and hedging
Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20) Integro-partial differential equations (35R09)
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Cites Work
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