Pseudo linear pricing rule for utility indifference valuation
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Publication:457184
DOI10.1007/s00780-014-0235-xzbMath1403.91342arXiv1403.7830OpenAlexW2128316369MaRDI QIDQ457184
Publication date: 26 September 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.7830
Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic functional-differential equations (34K50)
Related Items (10)
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