A multidimensional exponential utility indifference pricing model with applications to counterparty risk (Q2796752)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A multidimensional exponential utility indifference pricing model with applications to counterparty risk |
scientific article; zbMATH DE number 6560838
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A multidimensional exponential utility indifference pricing model with applications to counterparty risk |
scientific article; zbMATH DE number 6560838 |
Statements
29 March 2016
0 references
utility indifference pricing
0 references
reaction-diffusion PDE with quadratic gradients
0 references
splitting method
0 references
monotone scheme
0 references
shaking the coefficients technique
0 references
counterparty risk
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
A multidimensional exponential utility indifference pricing model with applications to counterparty risk (English)
0 references
