Approximate indifference pricing in exponential Lévy models
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Publication:4585675
DOI10.1080/1350486X.2016.1227270zbMath1396.91752arXiv1502.03359OpenAlexW2515665339MaRDI QIDQ4585675
Publication date: 6 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1502.03359
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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