Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
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Publication:4652585
DOI10.1137/S0363012903409253zbMath1101.91049MaRDI QIDQ4652585
Thaleia Zariphopoulou, Ronnie Sircar
Publication date: 28 February 2005
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Optimal stochastic control (93E20) General theory of stochastic processes (60G07) Derivative securities (option pricing, hedging, etc.) (91G20)
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