Utility indifference valuation for non-smooth payoffs with an application to power derivatives

From MaRDI portal
Publication:282083

DOI10.1007/s00245-015-9306-4zbMath1342.60102arXiv1307.4591OpenAlexW1749637740MaRDI QIDQ282083

Giuseppe Benedetti, Luciano Campi

Publication date: 12 May 2016

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.4591




Related Items (3)



Cites Work




This page was built for publication: Utility indifference valuation for non-smooth payoffs with an application to power derivatives