Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
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Publication:2879039
DOI10.1080/14697688.2013.816766zbMath1294.91171arXiv1205.3507OpenAlexW2210545002MaRDI QIDQ2879039
Publication date: 5 September 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1205.3507
asset pricingincomplete marketscomputational financederivative pricing modelshedging with utility based preferencespricing with utility based preferencesquantitative finance techniques
Related Items (2)
A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk ⋮ A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets
Cites Work
- Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
- An example of indifference prices under exponential preferences
- Finite difference discretization of the extended Fisher-Kolmogorov equation in two dimensions
- Credit derivatives and risk aversion
- OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
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