INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS
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Publication:4635044
DOI10.1111/mafi.12137zbMath1403.91324arXiv1410.0384MaRDI QIDQ4635044
Scott Robertson, Konstantinos V. Spiliopoulos
Publication date: 13 April 2018
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1410.0384
incomplete market; large deviations theory; indifference price; optimal positions; vanishing hedging error