Search Results - subject:"Utility indifference prices"

Dong, Linjia; Yang, Zhaojun - In: Operations research letters 50 (2022) 5, pp. 509-512

Persistent link: https://www.econbiz.de/10013449436

Bank, Peter; Gökay, Selim - In: Finance and stochastics 20 (2016) 1, pp. 153-182

Persistent link: https://www.econbiz.de/10011460049

Bank, Peter; Kramkov, Dmitry - In: Finance and Stochastics 19 (2015) 2, pp. 449-472

utility indifference prices. We compute the sensitivities of these market indifference prices with respect to the size of the …

Persistent link: https://www.econbiz.de/10011241203

Bank, Peter; Kramkov, Dmitry - In: Finance and stochastics 19 (2015) 2, pp. 449-472

Persistent link: https://www.econbiz.de/10011418186

Wu, Lixin; Dai, Min - In: Quantitative Finance 9 (2009) 2, pp. 177-186

computing the utility indifference prices for both European and American options. Moreover, we conduct an extensive numerical …

Persistent link: https://www.econbiz.de/10005279150