A scaling limit for utility indifference prices in the discretised Bachelier model
From MaRDI portal
Publication:2120544
DOI10.1007/s00780-022-00473-yzbMath1484.91472arXiv2102.11968OpenAlexW4214717225MaRDI QIDQ2120544
Publication date: 1 April 2022
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.11968
Related Items (2)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stochastic finance. An introduction in discrete time.
- Numerical schemes for \(G\)-expectations
- Efficient discretization of stochastic integrals
- Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces
- Discretization error of stochastic integrals
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- A general version of the fundamental theorem of asset pricing
- The Dalang-Morton-Willinger theorem under cone constraints.
- Weighted BMO and discrete time hedging within the Black-Scholes model
- On the existence of universal functional solutions to classical SDE's
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- Risk sensitive stochastic control and differential games
- Optimal Discretization of Hedging Strategies with Directional Views
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
- On a Representation of Random Variables
- Quantitative approximation of certain stochastic integrals
- THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY
- Short Communication: A Note on Utility Indifference Pricing with Delayed Information
- The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
- Discrete time hedging errors for options with irregular payoffs
This page was built for publication: A scaling limit for utility indifference prices in the discretised Bachelier model
