Efficient approximations for utility-based pricing
type: Item
instance of: scholarly article
title: Efficient approximations for utility-based pricing
zbMATH Open document ID: 1537.91355
author: Laurence Carassus
author: Massinissa Ferhoune
published in: Methodology and Computing in Applied Probability
publication date: 2024-06-04T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60E10
zbMATH DE Number: 7859378
zbMATH Keywords: utility-based pricing
zbMATH Keywords: utility-based hedging
zbMATH Keywords: incomplete model
zbMATH Keywords: Monte Carlo method
MaRDI profile type: Publication
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DOI: 10.1007/S11009-024-10076-Z
description: scientific article; zbMATH DE number 7859378