Neutral and Indifference Portfolio Pricing, Hedging and Investing

DOI10.1007/978-0-387-71418-9zbMath1229.91009OpenAlexW2493490240MaRDI QIDQ3083149

Srdjan D. Stojanovic

Publication date: 18 March 2011

Full work available at URL: https://doi.org/10.1007/978-0-387-71418-9

zbMATH Keywords

stochastic volatilitystochastic differential equationsincomplete marketspartial differential equationsequity valuationinvestment portfolio optimization\texttt{Mathematica}fundamental matrix of derivatives pricing and hedgingneutral indifference pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (3)

Interest rates risk-premium and shape of the yield curve ⋮ Neutral and indifference pricing with stochastic correlation and volatility ⋮ PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING

This page was built for publication: Neutral and Indifference Portfolio Pricing, Hedging and Investing