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UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES - MaRDI portal

UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES (Q3632194)

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English
UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES
scientific article

    Statements

    title
    UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES (English)
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    author
    Fred Espen Benth
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    Frank Norbert Proske
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    publication date
    23 June 2009
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    zbMATH Keywords
    interest-rate guarantees
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    utility
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    utility indifference pricing
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    arbitrage-free pricing
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    risk
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    hedging
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    correlation
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    91G20
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    91G80
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    zbMATH DE Number
    5567984
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    OpenAlex ID
    W2049495782
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