Utility indifference pricing of derivatives written on industrial loss indices.

Gunther Leobacher Philip Ngare

Published in: J. Comput. Appl. Math. (2016)

Keyphrases

industrial applications
higher order
utility function
database
technology transfer
error propagation
industrial processes
neural network
clustering algorithm
expected utility
tree structures
differential privacy
dynamic pricing
option pricing
industrial environment
distributional assumptions