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Approximate indifference pricing in exponential Lévy models - MaRDI portal

Approximate indifference pricing in exponential Lévy models (Q4585675)

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scientific article; zbMATH DE number 6933336
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English
Approximate indifference pricing in exponential Lévy models
scientific article; zbMATH DE number 6933336

    Statements

    title
    Approximate indifference pricing in exponential Lévy models (English)
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    author
    Clément Ménassé
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    Peter Tankov
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    publication date
    6 September 2018
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    zbMATH Keywords
    Lévy process
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    utility indifference price
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    mean-variance hedging
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    asymptotics
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    cites work
    Q5436599
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    Q4778955
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    Q4937701
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    Q2771116
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    Q3154985
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    Identifiers

    zbMATH DE Number
    6933336
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    arXiv ID
    1502.03359
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    OpenAlex ID
    W2515665339
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