Indifference pricing of contingent claims on NIG Lévy model
zbMATH Open1263.91053MaRDI QIDQ4918944FDOQ4918944
Authors: Philip Ngare
Publication date: 7 May 2013
Full work available at URL: http://www.m-hikari.com/ams/ams-2012/ams-45-48-2012/index.html
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Monte Carlo methodsutility indifference pricingpartial integro-differential equationsEsscher transformsLévy processes
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)
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