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"On convergence of the utility indifference pricing in the model preserving ..."

Imen Ben Abdelwahed, Faouzi Trabelsi (2015)

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DOI: 10.1504/IJMOR.2015.070197

access: closed

type: Journal Article

metadata version: 2020-04-16

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  - journals/ijmor/AbdelwahedT15
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  - https://dblp.org/rec/journals/ijmor/AbdelwahedT15
Imen Ben Abdelwahed, Faouzi Trabelsi:
On convergence of the utility indifference pricing in the model preserving the CGMY minimal entropy martingale measure. Int. J. Math. Oper. Res. 7(4): 428-463 (2015)

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