Utility based pricing of contingent claims in incomplete markets

By Gam Andrea   Pellizzari Paolo  

Applied Mathematical Finance, Vol. 9, Iss. 4, 2002-12 ,pp. : 241-260

Routledge Ltd

Access to resources Recommend Favorite

Two New FCT Algorithms Based on Product System

By Zhaoli G.  

Approximation Theory and Its Applications, Vol. 17, Iss. 3, 2001-01 ,pp. : 33-42

Springer Publishing Company

Access to resources Recommend Favorite

Stochastic Optimization Algorithms for Pricing American Put Options Under Regime-Switching Models

By Yin G.   Wang J.   Zhang Q.   Liu Y.  

Journal of Optimization Theory and Applications, Vol. 131, Iss. 1, 2006-10 ,pp. : 37-52

Springer Publishing Company

Access to resources Recommend Favorite

Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk

By Ewald Christian-Oliver  

Mathematical Methods of Operations Research, Vol. 68, Iss. 1, 2008-08 ,pp. : 97-123

Springer Publishing Company

Access to resources Recommend Favorite

Pricing with non-smooth utility function

By Ben Amor Jaleleddine   Trad Abdelhamid  

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 81, Iss. 3-4, 2009-06 ,pp. : 241-258

Taylor & Francis Ltd

Access to resources Recommend Favorite