Fitted finite volume method for indifference pricing in an exponential utility regime-switching model (Q2223806)
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| Language | Label | Description | Also known as |
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| English | Fitted finite volume method for indifference pricing in an exponential utility regime-switching model |
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Fitted finite volume method for indifference pricing in an exponential utility regime-switching model (English)
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3 February 2021
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regime-switching model
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stochastic differential equations
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indifference pricing
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fitted finite volume method
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comparison principle
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positivity preserving scheme
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convergence analysis
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