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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.
Cited literature [33 references]
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
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
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indif_price_E.pdf
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