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Preprints, Working Papers, ... Year : 2013

INDIFFERENCE PRICING OF THE EXPONENTIAL LEVY MODELS

Abstract

We consider the geometric Levy processes and we study the utility indi erence pricing approach for the European type option. Describing the investor's risk preferences by the socalled HARA-utilities we de ne the formulas for their value functions on the initially enlarged ltration and the equations for the indi erence prices.
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Dates and versions

hal-00831102 , version 1 (06-06-2013)

Identifiers

  • HAL Id : hal-00831102 , version 1

Cite

Anastasia Ellanskaya. INDIFFERENCE PRICING OF THE EXPONENTIAL LEVY MODELS. 2013. ⟨hal-00831102⟩
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