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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Bibliographic InfoPaper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-3444699.
Date of creation: 2009
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Uzi Segal & Avia Spivak, 1996.
"First-order risk aversion and non-differentiability (*),"
Springer, vol. 9(1), pages 179-183.
- 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.
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