Exponential utility indifference valuation in a general semimartingale model
Christoph Frei and Martin Schweizer
| Year of publication: |
2009
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|---|---|
| Authors: | Frei, Christoph ; Schweizer, Martin |
| Published in: |
Optimality and risk - modern trends in mathematical finance : the Kabanov Festschrift. - Berlin [u.a.] : Springer, ISBN 978-3-642-02607-2. - 2009, p. 49-86
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| Subject: | Nutzenfunktion | Utility function | Martingal | Martingale | Entropie | Entropy | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003948452