Utility-Based Pricing, Timing and Hedging of an American Call Option Under an Incomplete Market with Partial Information
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DOI: 10.1007/s10614-013-9382-y
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More about this item
Keywords
Partial information; American option; Consumption utility-based indifference pricing; Incomplete market; C61; G13;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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