Indifference pricing under SAHARA utility
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Publication:2223856
DOI10.1016/j.cam.2020.113288zbMath1454.91173OpenAlexW3107765837MaRDI QIDQ2223856
Publication date: 3 February 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2020.113288
Numerical methods (including Monte Carlo methods) (91G60) Utility theory (91B16) Dynamic programming (90C39) Actuarial mathematics (91G05) Financial markets (91G15)
Cites Work
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