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Springer电子图书(2)
CNKI学位论文(133)
知网期刊论文(76)
在“
SpringerLink电子期刊
”中,
命中:
42
条,耗时:小于0.01 秒
在所有数据库中总计命中:
211
条
1.
Utility
Indifference
Valuation for Non-smooth Payoffs with an Application to Power Derivatives
作者:
Giuseppe Benedetti
;
Luciano Campi
关键词:
Utility
indifference
pricing
;
Optimal investment
;
Backward stochastic differential equations
;
Viscosity solutions
;
Electricity markets
刊名:Applied Mathematics and Optimization
出版年:2016
2.
Indifference
pricing
and hedging in a multiple-priors model with trading constraints
作者:
HuiWen Yan (1)
GeChun Liang (2)
Zhou Yang (3)
1. School of Mathematics and Statistics
;
Guangdong University of Finance and Economics
;
Guangzhou
;
510320
;
China
2. Department of Mathematics
;
King鈥檚 College London
;
London
;
WC2R 2LS
;
UK
3. School of Mathematical Sciences
;
South China Normal University
;
Guangzhou
;
510631
;
China
关键词:
indifference
pricing
;
stochastic differential utility
;
trading constraints
;
ambiguity
;
variational inequality
;
American option
;
35K86
;
35Q91
;
35Q93
;
49N90
;
60H10
刊名:SCIENCE CHINA Mathematics
出版年:2015
3.
A note on utility-based
pricing
作者:
Mark H. A. Davis
;
Daisuke Yoshikawa
关键词:
Utility
;
based price
;
Indifference
pricing
;
Exponential utility
;
Utility
;
based curve
;
Partial equilibrium
;
Income and substitution effects
;
D52
;
G13
刊名:Mathematics and Financial Economics
出版年:2015
4.
A note on utility-based
pricing
in models with transaction costs
作者:
Mark H. A. Davis
;
Daisuke Yoshikawa
关键词:
Transaction costs
;
Utility
;
based price
;
Indifference
pricing
;
Exponential utility
;
Utility
;
based curve
;
Partial equilibrium
;
D52
;
G13
刊名:Mathematics and Financial Economics
出版年:2015
5.
Utility
indifference
valuation of corporate bond with rating migration risk
作者:
Jin Liang
;
Xudan Zhang
;
Yuejuan Zhao
关键词:
Utility
indifference
price
;
credit rating migration
;
HJB equation
;
Markov
;
modulated
;
93E20
;
62P05
;
49L20
刊名:Frontiers of Mathematics in China
出版年:2015
6.
Impact of risk aversion and belief heterogeneity on trading of defaultable claims
作者:
Jinbeom Kim
;
Tim Leung
刊名:Annals of Operations Research
出版年:2016
7.
Pseudo linear
pricing
rule for utility
indifference
valuation
作者:
Vicky Henderson (1) (2)
Gechun Liang (2) (3)
关键词:
Utility
indifference
pricing
;
Quadratic BSDE
;
Functional differential equation
;
FBSDE
;
91G40
;
91G80
;
60H30
;
G11
;
G13
刊名:Finance and Stochastics
出版年:2014
8.
Utility-Based
Pricing
, Timing and Hedging of an American Call Option Under an Incomplete Market with Partial Information
作者:
Dandan Song (1)
Zhaojun Yang (1)
关键词:
Partial information
;
American option
;
Consumption utility
;
based
indifference
pricing
;
Incomplete market
;
C61
;
G13
刊名:Computational Economics
出版年:2014
9.
A One-Factor Conditionally Linear Commodity
Pricing
Model under Partial Information
作者:
Takashi Kato (1)
Jun Sekine (1)
Hiromitsu Yamamoto (1)
关键词:
Commodity futures/forward
;
Conditionally linear model
;
Partial information
;
Stochastic convenience yield
;
Utility
indifference
pricing
;
G13
;
C63
刊名:Asia-Pacific Financial Markets
出版年:2014
10.
Indifference
pricing
for CRRA utilities
作者:
Semyon Malamud (1)
Eugene Trubowitz (2)
Mario V. Wüthrich (2)
关键词:
Indifference
pricing
;
Incomplete markets
;
Large risks
刊名:Mathematics and Financial Economics
出版年:2013
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