Utility indifference pricing with market incompleteness
Utility indifference pricing and hedging theory is presented, showing how it leads to linear or to non-linear pricing rules for contingent claims. Convex duality is first used to derive probabilistic representations for exponential utility-based prices, in a general setting with locally bounded semi...
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| অন্যান্য লেখক: | |
| বিন্যাস: | Book section |
| ভাষা: | English |
| প্রকাশিত: |
Nova Science Publishers
2008
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