Indifference valuation in incomplete binomial models
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Publication:613732
DOI10.5802/msia.4zbMath1204.91137OpenAlexW2332118556MaRDI QIDQ613732
Publication date: 21 December 2010
Published in: MathematicS In Action (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=MSIA_2010__3_2_1_0
incomplete marketsutility functionbinomial modelindifference pricingminimal martingale measureminimal entropy measure
Sums of independent random variables; random walks (60G50) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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