Pricing and Hedging in Incomplete Financial Markets
AbstractIn the practical part, Chapter 4 considers numerical methods for indifference pricing in a stochastic volatility model. In Chapter 5, a feasible procedure is developed for calculating the CVaR price in unit-linked insurance products under an additional assumption. This assumption is relaxed in Chapter 6.
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Date of creation: 2009
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- Segal, U. & Spivak, A., 1995.
"First-Order Risk Aversion and Non-Differentiability,"
UWO Department of Economics Working Papers
9519, University of Western Ontario, Department of Economics.
- Uzi Segal & Avia Spivak, 1996. "First-order risk aversion and non-differentiability (*)," Economic Theory, Springer, vol. 9(1), pages 179-183.
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