Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

INDIFFERENCE PRICING OF THE EXPONENTIAL LEVY MODELS

Abstract : We consider the geometric Levy processes and we study the utility indi erence pricing approach for the European type option. Describing the investor's risk preferences by the socalled HARA-utilities we de ne the formulas for their value functions on the initially enlarged ltration and the equations for the indi erence prices.
Complete list of metadatas

Cited literature [33 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-00831102
Contributor : Anastasia Ellanskaya <>
Submitted on : Thursday, June 6, 2013 - 2:35:01 PM
Last modification on : Monday, March 9, 2020 - 6:15:58 PM
Document(s) archivé(s) le : Tuesday, April 4, 2017 - 5:55:26 PM

File

indif_price_E.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-00831102, version 1

Collections

Citation

Anastasia Ellanskaya. INDIFFERENCE PRICING OF THE EXPONENTIAL LEVY MODELS. 2013. ⟨hal-00831102⟩

Share

Metrics

Record views

267

Files downloads

196