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A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk.
Vicky Henderson
Gechun Liang
Published in:
SIAM J. Control. Optim. (2016)
Keyphrases
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pricing model
expected utility
convertible bonds
bi level
real option
dynamic pricing
risk management
decision making
decision makers
supply chain
utility function
empirical analysis
risk analysis
risk assessment
early warning
black scholes
risk factors
credit risk
neural network