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.
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https://hal.archives-ouvertes.fr/hal-00831102
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Submitted on : Thursday, June 6, 2013 - 2:35:01 PM
Last modification on : Wednesday, December 19, 2018 - 2:08:04 PM
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Anastasia Ellanskaya. INDIFFERENCE PRICING OF THE EXPONENTIAL LEVY MODELS. 2013. 〈hal-00831102〉

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