Pseudo linear pricing rule for utility indifference valuation
Vicky Henderson; Gechun Liang
| Year of publication: |
2014
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|---|---|
| Authors: | Henderson, Vicky ; Liang, Gechun |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 18.2014, 3, p. 593-615
|
| Subject: | Utility indifference pricing | Quadratic BSDE | Functional differential equation | FBSDE | Optionspreistheorie | Option pricing theory | Nutzen | Utility | Nutzenfunktion | Utility function | Analysis | Mathematical analysis |
| 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/10010395991