Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures
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Publication:4682472
DOI10.1080/1350486X.2014.949805zbMath1396.91744arXiv1501.04548OpenAlexW2082932525MaRDI QIDQ4682472
Publication date: 18 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.04548
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Cites Work
- A valuation algorithm for indifference prices in incomplete markets
- Pricing Via Utility Maximization and Entropy
- A stability theorem of backward stochastic differential equations and its application
- FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES
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