Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
From MaRDI portal
Publication:2879039
DOI10.1080/14697688.2013.816766zbMath1294.91171arXiv1205.3507MaRDI QIDQ2879039
Publication date: 5 September 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1205.3507
asset pricing; incomplete markets; computational finance; derivative pricing models; hedging with utility based preferences; pricing with utility based preferences; quantitative finance techniques
91G20: Derivative securities (option pricing, hedging, etc.)
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A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets, A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
Cites Work
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