A NOTE ON UTILITY INDIFFERENCE PRICING
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Publication:2828052
DOI10.1142/S0219024916500370zbMath1396.91730OpenAlexW2395806415MaRDI QIDQ2828052
Johannes Gerer, Gregor Dorfleitner
Publication date: 24 October 2016
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024916500370
hedgingderivatives pricingutility indifference pricingutility-based pricingmarginal pricingcontinuous time financeshadow pricing
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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