Utility-Based Pricing, Timing and Hedging of an American Call Option Under an Incomplete Market with Partial Information
Year of publication: |
2014
|
---|---|
Authors: | Song, Dandan ; Yang, Zhaojun |
Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 44.2014, 1, p. 1-26
|
Publisher: |
Society for Computational Economics - SCE |
Subject: | Partial information | American option | Consumption utility-based indifference pricing | Incomplete market |
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