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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| Materiálatiipa: | Book section |
| Giella: | English |
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Nova Science Publishers
2008
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