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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.
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Preprints, Working Papers, ...
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https://hal.archives-ouvertes.fr/hal-00831102
Contributor : Anastasia Ellanskaya Connect in order to contact the contributor
Submitted on : Thursday, June 6, 2013 - 2:35:01 PM
Last modification on : Wednesday, October 20, 2021 - 3:18:45 AM
Long-term archiving on: : Tuesday, April 4, 2017 - 5:55:26 PM

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  • HAL Id : hal-00831102, version 1

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

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