Indifference Pricing in a Basis Risk Model with Stochastic Volatility
The aim of this dissertation is to study exponential indifference pricing in a basis risk model of one tradable asset and one correlated non-tradable asset in which a claim on the non-tradable asset is hedged using the tradable asset. We extend this to incorporate stochastic volatilities for both as...
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| Format: | Thesis |
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oxford university;mathematical institute
2011
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