Indifference pricing: theory and applications
Éditeur :
Princeton University Press
ISBN :
9780691138831
Date de publication :
18 janv. 2009
Dimensions :
23,5 x 15,2 cm
Poids :
709 g
Format :
B315
Langue :
Anglais
Pays d'origine :
USA
Introduces the concept of indifference pricing in models of discrete time and finite state spaces where duality theory can be exploited readily. This book also discusses utility indifference pricing for diffusion models, and addresses problems of optimal design of derivatives.