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INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS - MaRDI portal

INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS (Q4635044)

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scientific article; zbMATH DE number 6859727
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English
INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS
scientific article; zbMATH DE number 6859727

    Statements

    title
    INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS (English)
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    publication date
    13 April 2018
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    zbMATH Keywords
    indifference price
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    large deviations theory
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    optimal positions
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    vanishing hedging error
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    incomplete market
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    cites work
    Q4384413
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    Q4218383
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    Q4845604
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    60G44
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    60F10
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    zbMATH DE Number
    6859727
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    OpenAlex ID
    W2962998791
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    arXiv ID
    1410.0384
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    DOI
    10.1111/MAFI.12137
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