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Indifference pricing of contingent claims on NIG Lévy model

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Publication:4918944
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zbMATH Open1263.91053MaRDI QIDQ4918944FDOQ4918944


Authors: Philip Ngare Edit this on Wikidata


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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zbMATH Keywords

Monte Carlo methodsutility indifference pricingpartial integro-differential equationsEsscher transformsLévy processes


Mathematics Subject Classification ID

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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