Pricing jump risk with utility indifference
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Publication:3623407
DOI10.1080/14697680701881771zbMath1158.91393OpenAlexW2152615298MaRDI QIDQ3623407
Publication date: 20 April 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680701881771
Related Items (3)
Approximate indifference pricing in exponential Lévy models ⋮ Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims ⋮ Bond indifference prices
Cites Work
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- Convergence of Binomial Tree Methods for European/American Path-Dependent Options
- Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model
- European Option Pricing with Transaction Costs
- Option pricing when underlying stock returns are discontinuous
- Introduction to a theory of value coherent with the no-arbitrage principle
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