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Indifference pricing under SAHARA utility - MaRDI portal

Indifference pricing under SAHARA utility (Q2223856)

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Indifference pricing under SAHARA utility
scientific article

    Statements

    title
    Indifference pricing under SAHARA utility (English)
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    author
    Yanyan Li
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    publication date
    3 February 2021
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    zbMATH Keywords
    SAHARA utility
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    indifference pricing
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    utility maximization
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    finite difference scheme
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    incomplete markets
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    cites work
    Q5493542
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    Q3815091
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    Q4255599
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    Q4356582
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    Q3355178
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    Q3613975
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    Q2753184
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    Identifiers

    Mathematics Subject Classification ID
    91G05
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    91G15
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    91B16
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    90C39
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    91G60
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    zbMATH DE Number
    7305213
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    OpenAlex ID
    W3107765837
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