INDIFFERENCE PRICES AND IMPLIED VOLATILITIES

Author:

Lorig Matthew1

Affiliation:

1. University of Washington

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference27 articles.

1. On Modelling and Pricing Weather Derivatives;Alaton;Appl. Math. Finance,2002

2. Indifference Pricing

3. Carmona , R. M. Ludkovski 2006 Indifference Pricing of Commodity Forwards with Partial Observations and Basis Risk

4. Hedging of Contingent Claims;Follmer;Appl. Stoch. Anal.,1991

5. Asymptotics of Implied Volatility in Local Volatility Models;Hsu;Math. Finance,2012

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1. Indifference pricing of credit default swaps in a multi-period model;Journal of Industrial and Management Optimization;2023

2. Indifference pricing of insurance-linked securities in a multi-period model;European Journal of Operational Research;2021-03

3. Bond indifference prices;Quantitative Finance;2021-02-04

4. The implied Sharpe ratio;Quantitative Finance;2020-02-19

5. OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT;International Journal of Theoretical and Applied Finance;2019-03

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