Indifference valuation in non-reduced incomplete models with a stochastic risk factor
This work contributes to the methodology of valuation of financial derivative contracts in an incomplete market. It focuses on a special type of incompleteness caused by the presence of a non-traded stochastic risk factor, affecting the value of the contract. The non-traded risk factor may only appe...
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| Format: | Others |
| Language: | English |
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2008
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| Online Access: | http://hdl.handle.net/2152/3695 |