Utility indifference valuation for non-smooth payoffs with an application to power derivatives
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Scott Robertson & Konstantinos Spiliopoulos, 2014. "Indifference pricing for Contingent Claims: Large Deviations Effects," Papers 1410.0384, arXiv.org, revised Feb 2016.
- Giorgia Callegaro & Luciano Campi & Valeria Giusto & Tiziano Vargiolu, 2017.
"Utility indifference pricing and hedging for structured contracts in energy markets,"
Mathematical Methods of Operations Research,
Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(2), pages 265-303, April.
- Giorgia Callegaro & Luciano Campi & Valeria Giusto & Tiziano Vargiolu, 2014. "Utility indifference pricing and hedging for structured contracts in energy markets," Papers 1407.7725, arXiv.org, revised Feb 2016.
- Callegaro, Giorgia & Campi, Luciano & Giusto, Valeria & Vargiolu, Tiziano, 2017. "Utility indifference pricing and hedging for structured contracts in energy markets," LSE Research Online Documents on Economics 68953, London School of Economics and Political Science, LSE Library.
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