Utility–indifference hedging and valuation via reaction–diffusion systems
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Publication:3043425
DOI10.1098/rspa.2003.1234zbMath1087.91019OpenAlexW2011496907MaRDI QIDQ3043425
Publication date: 6 August 2004
Published in: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/69
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Financial applications of other theories (91G80) Stochastic integrals (60H05) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)
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