A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
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- Michael Monoyios, 2012. "Malliavin calculus method for asymptotic expansion of dual control problems," Papers 1209.6497, arXiv.org, revised Oct 2013.
- I. Halperin & A. Itkin, 2012. "Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging," Papers 1209.3503, arXiv.org.
- Benedetti, Giuseppe & Campi, Luciano, 2016. "Utility indifference valuation for non-smooth payoffs with an application to power derivatives," LSE Research Online Documents on Economics 63016, London School of Economics and Political Science, LSE Library.
- repec:wsi:ijtafx:v:16:y:2013:i:07:n:s0219024913500337 is not listed on IDEAS
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