A scaling limit for utility indifference prices in the discretised Bachelier model (Q2120544)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A scaling limit for utility indifference prices in the discretised Bachelier model |
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A scaling limit for utility indifference prices in the discretised Bachelier model (English)
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1 April 2022
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utility indifference
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strong approximations
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path-dependent SDEs
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asymptotic analysis
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