Forward indifference valuation of American options

Author: Leung Tim   Sircar Ronnie   Zariphopoulou Thaleia  

Publisher: Taylor & Francis Ltd

ISSN: 1744-2508

Source: Stochastics: An International Journal of Probability and Stochastic Processes, Vol.84, Iss.5-6, 2012-10, pp. : 741-770

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Abstract