Indifference Price With General Semimartingales
Work
Year: 2010
Type: article
Abstract: Using duality methods, we prove several key properties of the indifference price π for contingent claims. The underlying market model is very general and the mathematical formulation is based on a dua... more
Source: Mathematical Finance
Institutions University of Pisa, University of Milan, McMaster University
Cites: 31
Cited by: 45
Related to: 10
FWCI: 5.123
Citation percentile (by year/subfield): 93.95
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green