Approximate indifference pricing in exponential Lévy models
type: Item
instance of: scholarly article
title: Approximate indifference pricing in exponential Lévy models
zbMATH Open document ID: 1396.91752
DOI: 10.1080/1350486X.2016.1227270
author: Clément Ménassé
author: Peter Tankov
published in: Applied Mathematical Finance
publication date: 2018-09-06T00:00:00Z
full work available at URL: https://arxiv.org/abs/1502.03359
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 6933336
zbMATH Keywords: Lévy process
zbMATH Keywords: utility indifference price
zbMATH Keywords: mean-variance hedging
zbMATH Keywords: asymptotics
MaRDI profile type: Publication
arXiv ID: 1502.03359
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OpenAlex ID: W2515665339
description: scientific article; zbMATH DE number 6933336