Dynamic CRRA-utility indifference value in generalized Cox process model
Kun Tian, Dewen Xiong and Zhongxing Ye
| Year of publication: |
2014
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|---|---|
| Authors: | Tian, Kun ; Xiong, Dewen ; Ye, Zhongxing |
| Published in: |
Journal of financial engineering. - Hackensack, NJ : World Scientific, ISSN 2345-7686, ZDB-ID 2813048-0. - Vol. 1.2014, 4, p. 1-29
|
| Subject: | Enlargement of filtration | generalized Cox process model | different filtrations | CRRA-utility indifference value of filtrations | BSDE with jumps |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010508743