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Publication:3160513
zbMath1101.91044MaRDI QIDQ3160513
Marek Musiela, Thaleia Zariphopoulou
Publication date: 9 February 2005
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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Expected Utility Maximization for Exponential Lévy Models with Option and Information Processes ⋮ Rational hedging and valuation of integrated risks under constant absolute risk aversion. ⋮ Pricing equity-linked pure endowments via the principle of equivalent utility.
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