Solution of the HJB Equations Involved in Utility-Based Pricing
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Publication:5038268
DOI10.1007/978-3-319-13984-5_9zbMath1498.91440OpenAlexW2382854398MaRDI QIDQ5038268
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Publication date: 30 September 2022
Published in: XI Symposium on Probability and Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-13984-5_9
Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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